you can use a neat trick with RAISERROR to get an immediate result inside the loop, if that's what you want/need.
a basic example:
--print error immediately in batch
declare @i int,
SET @err = 'Progress So Far: Step ' + convert(varchar(30),ISNULL(@i,1)) + ' completed.'
raiserror (@err,0,1) with nowait
waitfor delay '00:00:02'
set @i=ISNULL(@i,1) + 1
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