Hi Peter, I dont know If you found the solution, but I ran into this same issue just today.
It has to do with the browser, on IE 11 and Chrome 41+ it works just fine, however on Firefox 35+ that message just never dissapears and stays forever even when the scripts finishes and you have to reload the page wich means the user has to re-enter his/her credentials again. Not smooth at all.
But I found the solution after trials and errors, and it was easy, but the kind of easy that that drives you mad.
If you are exporting records, you have to use a $variable with the name and extension of the file you are going to export, set the script step to perform without dialog and supply the $variable and dont forget to set your export order. This causes the browser to open a new tab for just a second, then it closes and prompts you to download the file, and the Action Is running message fades away almost instantly.
If you are exporting field contents the solution is almost the same, perform the step without dialog but add the extension of the file TWICE (yeah, twice, otherwise it will just download the file without extension, trust me).
And thats all, I hope this helps you bro.
Oh and I tested it on
+ IE 11
+ Firefox 35.0.1
+ Chrome 41.0.2272.87 m
and it works :)