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

;