Hello,
No, you are not the first. I blogged long time ago already about creating a custom progress indicator. The reason at that that time was that it couldn't be localized in that version, and that I created quite a lot of custom question slides that do not get the progress indicator neither. Now D&D is one of those. Have a look at:
Customized Progress Indicator - Captivate blog
If you are on CP7 or later you can replace the advanced by a shared action (easier to transfer to other projects) and I believe that the Increment statement in the Advanced Actions dropdown list was already available for 7. It can replace the Expression in the described action to increment the counter.
Lilybiri