Now, I have discovered more...
If I turn OFF "Enable XP Visual Styles" in the Project|Application properties, then the 'Blocks' appear when using ProgressBarStyle.Block, and the bar is smooth when using ProgressBarStyle.Continuous. However, the ProgressBarStyle.Marquee setting then does not work! So it seems that I can either have Blocks & Continuous OR Marquee and Continous, but not all three??? Surely this is not right.