drupal_set_message() is lost when called early in large batches

A large batch (with multiple steps) that causes drupal_set_message() to be invoked early in the batch will not render the messages from early in the batch. I think this is because the AJAX requests of the batch processor cause any messages stored in the session to be cleared, so only messages added with a call to drupal_set_message()in the very last batch-process are actually respected.

Is this a bug or is there a feature of Feeds to work around this?

Seems related to #706536: Permission for showing failure/error + import success & deletion messages and maybe #861266: Feed import feedback messages about the number of created or updated items in the watchdog table.