Refresh Progress Indicator Slowing down Query Refresh

Why don't you just use a static shape that says "Refreshing" until the refresh is complete?

Any extra processing you add will slow a macro since each step takes it's own time.
VBA is sequential so the next row won't run until the previous is completed.
Things tha 'look nice' can foul up other processes.
Like @rorya says A static image or the status bar indication progress if needed is the best option

Excel as of 2007 has the nasty habit of 'not responding' while it really is still busy, so the animated image looks locked, but actually Excel is working in the background even if the Caption tells you 'Not responding'

Go drink a cup of coffee (or tea) and come back and you'll see it's completed (unless an error occurred of course)

BTW wya you can also change the mouse cursor to Wait, Google for that, is a nice touch too