It depends on where you want to go.
If you're aimed towards making "application"-like content - that is, buttons, pulldown menus, tab and accordion frames and so on, then probably you should keep on with the Flex tutorials. Flex is a framework, remember - it will spare you more of the gritty details if what you want to do is aligned with it.
If you want to make more generally expressive content - games, unique menus, highly interactive experiences and the like, then learning Flex would probably be a sidetrack. You'd be better off focusing on ActionScript itself.
Since you're starting from zero, you should also consider how far you plan on going. If you hope to eventually be able to handle complicated, heavily script-driven content, then you'd be better off learning ActionScript 3 and pretending AS2 doesn't exist. However, if you need to learn "enough" scripting to get the job done, but you don't plan on getting married to it, then you might prefer to do the reverse. AS2 is much more ad-hoc, and less strict. It has more whippituppitude, as they say. But for complex work AS3 is far better.
As for learning other languages, I'd say not so much. AS2 is very similar to JavaScript, and AS3 is very similar to Java, but you'll understand much better how to make good Flash content if you learn the scripting together with the authoring tool, and you'll come away more able to grok Flash's internal structure and the attendant possibilities and limitations.
Flex supports preloaders through the Application class, so you shoudn't have to resort to a hack. It's described in detail in the Flex 3 Developer Guide, Ch. 14 ("Application Container"). I never programmed a pure Flash preloader, but I figure it's different from what Flex does. Maybe the two of them conflict?
Best Answer
Flex is great if you quickly want to build a UI, you can mock up a functioning UI in a couple hours. Since it still can be limiting for some custom UI's it's not perfect for everything but if something should "look" more or less like an application and fit in a grid it's super quick to mock up the UI in MXML. Also don't be intimidated of how most Flex apps look (ugly, imo), you can customize everything or easily create your own components.
Putting actionscript in mxml is the same as putting css or javascript in html = really bad. Unfortunately even Adobe has this in multiple examples (probably mostly because it's easier & faster for demostrations).. My personal opinion is that this applies to bindings too, as i don't want to put my data in the UI (mxml).
As an experienced developer I'm sure you don't do any development on the timeline (to clarify the Flash = timeline misconception). Still with Flex you have the UI separated in a framework that handles a lot of the burden with layout so that you can concentrate on the business logic. The rest of the workflow is close to what you probably already have with Flash.