Since fitting SequentialFeatureSelector may take a great amount of time depending on size of the initial feature space I suggest to add a simple progress bar to it.

I see here 2 possibilities:

• progress bar of number of features to add(to remove if "backward" direction is used)
• progress bar of number of fits

Actually it might be good to add them both depending on verbosity level like how it is done in GridSearchCV and other classes. If you approve such scheme I can code it in a couple of hours.