Got it working :)
In case it helps anyone, what I did was replacing my HaxeFlixel files, for @Nallebeorn ones: FlxBasePreloader.hx and FlxPreloader.hx, then on your project.XML file make sure you got: <app preloader="flixel.system.FlxPreloader" />
I use 4.0.1 version. If not mistaken, the next release will include this by default. I thought I might share in case someone else finds it useful.