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, for the Orders app, you can configure such statuses as created, approval, execution, completed, etc. Create a business process at the app level, add the Change status steps to the process workflow and track at what stage of the order lifecycle currently is. As the process progresses, the order will automatically acquire different statuses.
Read more about app statuses in this article.