If its set, the status bar is updated each time you execute a command that changes status information

1.if issue "set statusbar on" have you the statusbar displayed at vfp botton window and updated messages?
try "set clock status" to see the time at the right statusbar panel.
i assume at this step all is ok!

2.if you run your vfp with settings (set command) as
set talk
set notify
set console
turn them to "on" (default) or execute this in command window and try.Some of these if "off" can disable messages on statusbar ?

set talk on
set notify on
set console on