AFAIK this only works with Freezable derived classes. The best solution I see is to create the control on the UI Thread and show a progress bar during creation. To make this possible you will have to create the control in portions an let the progress bar update itself once in a while. This not only necessary for the progressbar but also will make sure that you application does not block.
Pseudocode (execure in extra thread):
this.Dispatcher.BeginInvoke(UpdateProgress(0));
this.Dispatcher.BeginInvoke(bigControlBuilder.Build(0,25));
this.Dispatcher.BeginInvoke(UpdateProgress(25));
this.Dispatcher.BeginInvoke(bigControlBuilder.Build(25,50));
this.Dispatcher.BeginInvoke(UpdateProgress(50));
this.Dispatcher.BeginInvoke(bigControlBuilder.Build(50,75));
this.Dispatcher.BeginInvoke(UpdateProgress(75));
this.Dispatcher.BeginInvoke(bigControlBuilder.Build(75,100));
this.Dispatcher.BeginInvoke(UpdateProgress(100));
this.Dispatcher.BeginInvoke(this.Children.Add(bigControlBuilder.GetControl()));
Update:
To make complex control more responsive you could also try UI-Virtualization/Data-Virtualisation:
Only load and show those visual items of the data items that are currently visible to ther user. Do not load and show visual items that are scrolled offscreen are to small to see or are in any other way invisible to the user. Upon userinteraction unload items that become invisble, load items that become visible.