>Now that I have removed all the GO in my script, I have found that all the PRINT commands are being shown in one shot at the end. So, once the script starts executing, I have no idea what is going on. Is this really what caused this? If not, then, what can I do to force the PRINT to be shown?

Yes, that's the way PRINT is handled. Try to replace PRINTs with

RAISERROR( '.......' , 0, 1 ) WITH NOWAIT