You have forgotten to take into account the indicator's width and height, when setting it's x and y position in the alertview frame.
indicator = [[UIActivityIndicatorView alloc]initWithFrame:CGRectMake(roundf((screenRect.size.width - 50) / 2), roundf((screenRect.size.height - 50) / 2),50,50)];
EDIT: This is the exact one I typically use: (don't forget to release things, etc)
UIAlertView *alert = [[UIAlertView alloc] initWithTitle: @"Loading..." message: nil delegate:self cancelButtonTitle: nil otherButtonTitles: nil];
UIActivityIndicatorView *progress= [[UIActivityIndicatorView alloc] initWithFrame: CGRectMake(125, 50, 30, 30)];
progress.activityIndicatorViewStyle = UIActivityIndicatorViewStyleWhiteLarge;
[alert addSubview: progress];
[progress startAnimating];
[alert show];