I don't know what others call this type of problem but I call them "data smears" because it's like you smearing strips of color down from one wet paint spot to another.
I don't believe the following will be quite as fast as a Quirky Update, but it'll blow the doors off a cursor especially in the face of the correct index. And thank you VERY much for posting such clear requirements and readily consumable data!
UPDATE ug
SET Pressure = ca.Pressure
FROM dbo.UpdateGaps ug
CROSS APPLY (SELECT TOP 1 Pressure
FROM dbo.UpdateGaps ugca
WHERE ugca.MachineID = ug.MachineID
AND ugca.RecordedDate <= ug.RecordedDate
AND ugca.Pressure > 0
ORDER BY ugca.MachineID,ugca.RecordedDate DESC) ca
;
--Jeff Moden
Change is inevitable... Change for the better is not.