"A reference to a volatile field will not be treated as volatile" implications

Use this:

#pragma warning disable 420
if(Interlocked.CompareExchange(ref isLoaded, 1, 0) != 0)
    return;
#pragma warning restore 420

Basically the warning is that when you pass a volatile field by reference, the calling code doesn't know to treat it in a volatile manner. For Interlocked.Increment that probably doesn't matter, due to the nature of the method - but then you don't need the variable to be volatile anyway if you're using Interlocked.

In general, I think I'd avoid mixing the two - if you're using Interlocked, do it everywhere (using Interlocked.CompareExchange(ref counter, 0, 0) to read it). I can't say I use volatile very often, personally. For simple counters I might use Interlocked, but I'm more likely to use a lock for most tasks.

You are not doing anything wrong. According to the documentation:

A volatile field should not normally be passed using a ref or out parameter, since it will not be treated as volatile within the scope of the function. There are exceptions to this, such as when calling an interlocked API.