I've made some refactoring to the Progress Dialog code:
First of all I changed the name. Now it's ProgressIndicator.
Second, this class is now a custom control derived from ContentControl. And last, I twicked the styles and the code so it matches the look-n-feel of the native progress indicator functionality. Such as displaying a status label next to the progress bar and also do not show the dialog full screen when the progress displayed on the top of the page. In this case it will satisfy the requirement that the UI should stay responsive when this is happenning. The download is at the MSDN code galleries (ProgressIndicator).