The idea has one weak point, and that is that this would require OS-specific code. To my knowledge, wxWidgets offers no such thing as a task bar icon class. As far as Windows is concerned, I might even remember how to do it, but what about X? Assuming that the same code works for Gnome and KDE is probably a bit bold
Except for that, it is a really good idea, though.
As an alternative, we might open an off-screen window and change its title as the build process goes on. It is not the same, but we could implement it cross-platform and with a lot less pain.