The problem is that you are using "ActionData" but you are not sending a message to the UI with this action data from your custom action.
You must add something like:
public class MyCALib
{
[CustomAction]
public static ActionResult MyCAMethod(Session session)
{
using (Record record = new Record(0))
{
record.SetString(0, "Starting MyCAMethod");
Session.Message(InstallMessage.ActionData, record);
}
System.Threading.Thread.Sleep(10000); // to show text
// do something
System.Threading.Thread.Sleep(10000); // to show text
return ActionResult.Success;
}
}
You can send as many messages as you want from your CA.
If you were using "ActionText" instead it will work but will display the custom action name without additional/custom information.
You will find additional information here:
WiX: dynamically changing the status text during CustomAction