If you insist on the grid rendering all the data at once, it all depends on whether the grid's rendering code can "yield" or not, kind of like the old Windows Forms "DoEvents()" method. It sounds like it's implemented in such a way that it doesn't, in fact, yield processing back to the UI thread during its rendering, and hence your progress bar never gets updated.
Does the grid ever call into your own code while it's rendering its content? If so, you could use those instances to update the state of the progress bar.
Have you looked into virtualizing the contents of the grid? You can get UI virtualization basically for free if you wrap the FrameworkElements that you need rendered in a VirtualizingStackPanel. If you want somewhat more complexity, you can also get data virtualization by wrapping your dataset with a PagedCollectionView class, and then writing . See here for more details. See also here for another (simpler?) way of implementing the same sort of virtualization.