Given this scenario, you probably want to have LoadAssetsCommand create the ProgressBarMediator, et al, before you start your assets loading. Because the AssetsDataProxy could get a result and send a notification before the ProgressBarMediator was in place to hear it.
Also, there's a similar discussion going on over in the StartupManager utility thread:http://forums.puremvc.org/index.php?topic=259.msg1685#msg1685
StartupManager gives you lots of control over loading of data, and there's really (IMHO) not much difference in the requirements for an asset loader. The discussion there is going along the lines of whether to include that functionality in SM or do a separate utility, and what the req's might be for it.
Maybe everyone should put their heads together on this one and flesh out the reqs. It'll be nice for people to have a solution but it'll be nicer if its well though out...