Progress Bar does not update Immediately
It looks like this may be a bug in the Windows version of ProgressBar as the code works on Linux and Mac OS X.
The Windows version of ProgressBar.setSelection does have some code that says it is trying to deal with an issue that sounds like this but it is only done if the state is not Normal - which may be be why it works on the Error and Paused state. Their fix just does the selection again so maybe calling setSelection twice would work!
You can follow this tutorial, it describes how you can make Eclipse Jobs in order to execute long jobs apart of the EDT, and just updates the state of your components.Hope this helps, Cheers!
I have tested the code provided by you using the lasted version of SWT (4.3 Final Release - 5 June 2013) under Windows 7 SP 1 and Windows XP SP3. In both cases the progress bar updated without delay. Maybe an update of the SWT library will help.