How does explorer display the size of the file to be downloaded and the amount thats downloaded so far? Thats what you are talking about, right?
The answer to this is bit more complicated than you might think. The following is simplified, and perhaps not entirely correct, but hopefully it provides some sort of explanation.
Many .NET/Operating System functions are available in both synchronous and asynchronous form. B4PPC offers only the synchronous forms for simplicity.
Synchronous operations basically block the caller until they either succeed or fail, so they need no further management by the caller. Thus they are simple to use and that is why B4PPC restricts itself to them.
Asynchronous operations in comparison need ongoing management by the caller. Typically they involve calling a function to get things going which launches a separate thread and registers a "callback function" or event that the thread calls to handle the completion of the operation. The caller is then free to do other things and when the completion event occurs must call a finalise function to get the data from the operation thread and tidy things up.
Crucially however, in order to monitor progress the, in this case FTP, process must be written with the ability to report on its' progress, via another callback, if used asynchronously. The .NET FTP functions do not do this. Explorer is probably using either its' own FTP process built on top of the OS TCP/IP stack, or is using a lower level OS facility that does provide progress monitoring.