The work in this paper proposes the application of the pinball quantile loss function to guide a deep neural network for Non-Intrusive Load Monitoring. The proposed architecture leverages concepts such as Convolution Neural Networks and Recurrent Neural Networks. For evaluation purposes, this paper also presents a set of complementary performance metrics for energy estimation. Finally, this paper also reports on the results of a comprehensive benchmark between the proposed network and three alternative deep neural networks, when guided by the pinball and Mean Squared Error loss functions. The obtained results confirm the disaggregation superiority of the proposed system, while also showing that the performances obtained using the pinball loss function are consistently superior to the ones obtained using the Mean Squared Error loss.