Sorry, did some other testing, the 'wdCursorWait' that shows up is not the function in the macro but the default cursor used by Excel to show that it's working. So, what I said in my previous post is nonsense. This will show wait cursor too.
Code:
Sub test()
Dim a
' Set status bar text
StatusBar = ("Please wait...")
' Turn cursor to wait
'System.Cursor = wdCursorWait '<- here (note that it isn't active)
' My script runs here...
Do While a < 2001
For a = 1 To 2000
Selection.TypeText Text:="abc"
Next a
Loop
' Turn cursor back to normal.
StatusBar = ("Complete")
System.Cursor = wdCursorNormal
End Sub