When printing from SD, the firmware is instructed to open a file and knows how many lines are in the file. So while printing it can keep count of how many lines it has processed, and how many lines are still coming. The firmware can even calculate progress from that and show it to the user. The firmware knows it started printing the file, and it knows when it is done printing the file. The firmware is in complete control.
Now, when printing over USB, like OctoPrint does, the firmware just gets commands sent its way one by one. The firmware does not care where they come from, it just executes them one by one as they come in. The firmware does not know how many more files are coming, and the firmware does not know if you are just jogging with the controls in the "Control" tab or if you are printing a file. As far as the firmware is concerned, there is no file at this point.
This is a bit unsatisfying, so a special gcode command exists that tells the printer to show the user the progress of the currently printing file. OctoPrint does not send these special gcode commands by default, but there are plugins that take care of that. Unfortunately, support for that special gcode command needs to be enabled in the firmware, so even with those plugins installed, it may not display anything on your printer display.