Maybe on the web. But I feel on the web they are often not even there to mask load times but are just used as powerpoint-transition-like-effect. And also to prevent the user from seeing page-jumps when the page first loads.

But as an anecdote of where a progress bar was more than just cosmetic: Couple of years ago I attempted to upgrade to a new MacOS on my Macbook and the install ran into some error but gave no indication whatsoever. So the only info I had was that the progress bar hadn't moved at all in 5 hours. I waited another couple of hours before I switched it off and tried again. Without the progress bar I probably would've waited another day. I mean my macbook was still bricked but at least I could compare it to screenshots online of people getting stuck at the same point, allowing us all to blame Apple :)

That's quite a specific scenario but anytime it's difficult to debug what's actually happening, I wouldn't say progress bars are just cosmetic.

Reminds me of a story my old boss used to tell about how they dealt with complaints about long waits for elevators in one high-rise building: putting mirrors on the walls. With sufficient distraction (everyone likes looking at themself, or at least can't help it) the elevators were no longer "too slow"!