Hello Tim, this one is still unresolved.
To bring new status under orders kindly add them to another order status as allowed order status, that means for an example order status of "payment awaiting" you can add canceled as order status and you have to edit payment awaiting and add canceled order status in next allowed order status column.
However, in sample data itself, we provide canceled and refund approved status.
Let me know if we are on the same page or I am missing any important piece of information here.
-Abhishek
Team sellacious