Not all operations are capable of providing progress within a single operation. If you were copying more than one file, the progress bar would work fine, advancing after each file transfers. But since you're only transferring a single file, there's no opportunity to update the status bar until the operation is done.
If the copy is done by a remote engine (for example, if your computer tells another computer to pull the file), progress during the file copy is not possible. Windows sometimes operates this way because allowing the recipient to control the file transfer allows them to avoid transferring data they already have. Vista introduced this accelerated smart copying and it exists in Windows 7 homegroups as well.
Essentially it goes like this:
Windows figures out which file to copy.
Windows checks if that file exists on the recipient and whether the recipient is capable of accelerated copy. Windows checks if the file is large enough to be worth the effort of using smart copying.
If so, Windows enters accelerated copy mode and tells the recipient to pull the file.
The recipient makes a hash index of its version of the file and requests a hash index from the sending computer. The recipient negotiates changes with the sending machine until the two files have the same content.
Windows gets a report from the other end that the file synchronization is complete and the recipient has the correct data.
During this process, the sending machine does not have a good idea of how the operation is progressing. Microsoft could have included progress updates in the requests, but they didn't.