The Change status step is used only in the business processes that involve apps with customized statuses. It allows you to track the process progress and also determines the app status at a particular stage of the process.
For example, if you create an Orders app, associate it with an Order processing business process and configure the statuses, you will be able to track the order progress. As the process progresses, the Order will automatically acquire different statuses, for example Created, Pending, In progress, Delivered. That way you can easily track the item progress and see the big picture.
Read more about the statuses configuration in this article.