Screen overlay when using hotkey to switch keyboard input
In the Keyboard system preferences panel, select the Shortcuts tab then the Input Sources entry on the left.  Enable the "Select the previous input source" checkbox and assign it to the keyboard shortcut you wish.

The input source switcher window ONLY works with this shortcut.  It will not show if you use the "Select next source in Input menu" shortcut.

I'm guessing that the 2nd shortcut was added later by another developer.  Besides the lack of this secret switcher feature, notice the wording of the shortcut description.  If the same person did both, they probably would have called it "Select the next input source".