I remember that with Delphi and Windows it was possible to change the Parent of a Progressbar what can be used to move the Progressbar into a Statusbar. Perhaps this will work for you:
aProgressBar:=TProgressBar.Create(MainStatusBar);
aProgressBar.Parent:=MainStatusBar.Panels[0];
...
Unfortunately, that does not work with Linux and you should think about to draw it yourself.