Never

With all the examples in the question and the answers so far, I would never, as a user, get the idea to click on them. On the contrary; especially if it is a web application, I am usually paying a lot of attention on not clicking anything when an importat page is still loading - for example on the final button of a payment operation.

So, I'd suggest putting the clickable parts well outside of the progress bar, and make them look like they always do (links, buttons, whatever you have in your application).