I believe that this is by design. Has to do with RPC timeout. Please read below, info taken from MS Website. Our users experience this issue from time to time. According to Microsoft this is not an issue. It just causes a lot of calls to the help desk.
Because of user feedback, the Outlook product group added the "retrieving data" message in Outlook 2002.
Mechanics
In Outlook 2002 and Outlook 2003, when Outlook requests data from a Microsoft Exchange computer, Outlook calls a function that wraps the remote procedure call to the Exchange computer. This wrapper is the CancelableRPC wrapper. By default, this wrapper starts a timer and then issues the remote procedure call. The timer stops when a response is received. However, if the remote procedure call for data takes more than five seconds to return the data, the wrapper produces the “retrieving data” message. The dialog box that contains the message remains on the screen until the remote procedure call is answered or until the user clicks Cancel. If the action that the user performs in Outlook creates multiple remote procedure calls, the message could appear one time for each remote procedure call.
Because of the design of this feature in Outlook 2002, the Outlook 2002 user interface (UI) stops responding while the “retrieving data” message is displayed in a dialog box. In Outlook 2003, this problem does not occur. When the “retrieving data” message is displayed in a balloon in Outlook 2003, users can continue to use Outlook.
You receive this message as part of the standard interoperation of Outlook and Exchange. Even on the fastest network that has the best hardware and architecture, some remote procedure calls will take more than five seconds to obtain a response. This is a simple fact, and the appropriate expectations should be set with users. If the message appears only occasionally, no extensive troubleshooting is required. Trying to troubleshoot when the message appears only occasionally is not likely to be productive.
Remote procedure call is a sequential transport. When a remote procedure call is made, it must be answered, or the remote procedure call session must be restarted. This is different from a protocol like the Internet Protocol (IP) where packets can be received in any order and then reconstructed on the other side. This understanding is fundamental when you try to troubleshoot problems that are related to remote procedure calls that can be canceled from the dialog box or the balloon that contains the "receiving data" message.
