That's a great find @Zabobon!
I checked in the KM10 release note and this feature is listed - but who knew??
The other day I was contemplating adding a progress bar to one of my more complicated macros: it has 3 For Each actions, one inside the other and I gave up on the idea since I'd have to do a lot of extra work setting up the progress bars - just as you described.
So after reading about your discovery, I took all of 30 seconds to edit my macro and as if by magic I can now see how it is progressing. So a big thank you!
The only downside (as you said) is that you can't set the progress bar title so it's not immediately obvious which For Each action it refers to.
But I've had a thought about that and it is a feature request to @peternlewis: can the text that appears in the built-in progress bar be taken from the name of the For Each action, so that by renaming the action it would make it obvious which For Each the progress bar belongs to?