It seems strange that the StatusDlg doesn't show its contents unless it is "Shown" before the options are set. That seems backwards to me.

This Doesn't Work - It Doesn't Show the Message
Code:
StatusDlg.SetMessage("Testing communication with the Application Server");
StatusDlg.Show();
This Works - It Shows the Message
Code:
StatusDlg.Show();
StatusDlg.SetMessage("Testing communication with the Application Server");
It would seem more intuitive to set all my options before showing the dialog.