For future reference - over COM, I just found the Update method on the application object which causes it to, er, update.
This can be combined with ActiveDocument.Utility.Prompt to display messages synchronously in the Autocad window over COM.
If you begin each message with "\r" then it will overwrite the "Command:" prompt, though not the previous message sent to Prompt (any ideas on how to do this welcome!)
So, it's not quite a progress bar, but it'll do the job.