Add proper support for wxUSE_NATIVE_PROGRESSDLG

This symbol was wrongly added to include/wx/msw/setup0.h directly in
075ef6551e, so it didn't work when
cross-compiling from Unix (which doesn't use this file) and would have been
lost after any future modification of include/wx/setup_inc.h where it should
have been added in the first place.

Do this now and also make the check for this symbol in wx/progdlg.h a bit more
readable.

configure

@@ -36492,6 +36492,8 @@ fi
 if test "$wxUSE_PROGRESSDLG" = "yes"; then
     $as_echo "#define wxUSE_PROGRESSDLG 1" >>confdefs.h
 
+            $as_echo "#define wxUSE_NATIVE_PROGRESSDLG 1" >>confdefs.h
+
 fi
 
 if test "$wxUSE_SPLASH" = "yes"; then