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.

include/wx/progdlg.h

@@ -30,9 +30,17 @@
 
 #include "wx/generic/progdlgg.h"
 
-#if defined(__WXMSW__) && wxUSE_THREADS && !defined(__WXUNIVERSAL__) && wxUSE_NATIVE_PROGRESSDLG
-    #include "wx/msw/progdlg.h"
-#else
+#if defined(__WXMSW__) && !defined(__WXUNIVERSAL__)
+    // The native implementation requires the use of threads and still has some
+    // problems, so it can be explicitly disabled.
+    #if wxUSE_THREADS && wxUSE_NATIVE_PROGRESSDLG
+        #define wxHAS_NATIVE_PROGRESSDIALOG
+        #include "wx/msw/progdlg.h"
+    #endif
+#endif
+
+// If there is no native one, just use the generic version.
+#ifndef wxHAS_NATIVE_PROGRESSDIALOG
     class WXDLLIMPEXP_CORE wxProgressDialog
                            : public wxGenericProgressDialog
     {
@@ -48,7 +56,7 @@
     private:
         wxDECLARE_DYNAMIC_CLASS_NO_COPY( wxProgressDialog );
     };
-#endif // defined(__WXMSW__) && wxUSE_THREADS
+#endif // !wxHAS_NATIVE_PROGRESSDIALOG
 
 #endif // wxUSE_PROGRESSDLG