Can I have multiple GUI threads in MFC?

Short answer, Yes, you can have multiple GUI thread in MFC. But you can't access the GUI component directly other than the created thread. The reason is because the Win32 under the MFC stores the GUI handler per thread based. It means the handler in one thread isn't visible to another thread. If you jump to the CWinThread class source code, you can find a handler map attribute there.

Windows (MFC) doesn't has hard difference between the worker thread & GUI thread. Any thread can be changed to GUI thread once they create the message queue, which is created after the first call related to the message, such as GetMessage().

In your above code, if the progress bar is created in one thread and MySlowWork() is called in another thread. You can only use the CProgressThread attributes without touch the Win32 GUI related functions, such as close, setText, SetProgress... since they all need the GUI handler. If you do call those function, the error will be can't find the specified window since that handler isn't in the thread handler mapping.

If you do need change the GUI, you need send the message to that progress bar owner thread. Let that thread handles the message by itself (message handler) through the PostThreadMessage, refer to MSDN for detail.