The official response I received from ESRI support was to change the IMap.MapUnits property using the esriUnits enumeration. The problem is that none of the esriUnits options will give me a read out of DMS or MGRS coordinates.
From the research I have done it is possible to change the message in the Status Bar by using the Application.StatusBar.set_Message({pane number}, {string message}) method.
I can build this is as tool and use the OnMouseMove event, get the x and y coordinates and project them to desired coordinates system and then display them on the status bar. I need this to be a persistent solution. With the tool solution, once the user clicks on another tool all other tools do not work.
Is there another way to employ the OnMouseMove event with out extending the Tool class?