Showing message to the user during a Debian unattended preseeded installation

You will be pretty limited by debconf and it may not be worth the effort. I don't think you'll be able to do it at all with a script run in-target. I did have success using the following preseed snippet and script with Debian Buster. It changes the text where Running Preseed... is displayed three times. It will show

1. Step A
2. Step B
3. Running c... (the "fallback" option)

Partial preseed file to download and run a script.

d-i preseed/late_command string \
  wget -P /run http://REDACTED/my_script.sh ; \
  chmod 755 /run/my_script.sh ; \
  /run/my_script.sh

Contents of my_script.sh.

#!/bin/sh

. /usr/share/debconf/confmodule

set -e

# create a templates file with the strings for debconf to display
cat > /run/my_script.templates << 'EOF'
Template: my_script/progress/a
Type: text
Description: Step A

Template: my_script/progress/b
Type: text
Description: Step B

Template: my_script/progress/fallback
Type: text
Description: Running ${STEP}...
EOF

# use the utility to load the generated template file
debconf-loadtemplate my_script /run/my_script.templates

# pause just to show "Running Preseed..."
sleep 2

# foreach 3 steps tell debconf which template string to display
for step in a b c; do

    if ! db_progress INFO my_script/progress/$step; then
        db_subst my_script/progress/fallback STEP "$step"
        db_progress INFO my_script/progress/fallback
    fi

    case $step in
        "a")
            # run commands or scripts in the installer environment (this uses the sleep command in the installer environment)
            sleep 10
            ;;
        "b")
            # run commands or scripts in the chroot environment (this uses the sleep command from the installed system)
            in-target sleep 10
            ;;
        "c")
            # just another sample step
            sleep 10
            ;;
    esac
done

The script and the templates file generated are based on the finish-install (debian-installer package) script and templates.