The progress bar will use whatever sprite you target. If you target a sliced sprite, as you've done in your screenshots, then everything I said is correct. If you target a filled type sprite, then you will get it nicely cut instead. It's up to you to choose what you need.
What I still don't understand is why you are so reluctant to make a circle out of that long sprite. You'll get what you wanted and you will save texture memory. Win-win. Why the reluctance?
Lastly, if you are really so adamant about creating a custom sliced type sprite that keeps the end caps intact and cuts the center instead of shrinking it, you can always just create a custom sprite renderer. Create a custom class, inherit from UISprite and overwrite the OnFill function, filling the graphics arrays as you see fit.