At the moment any changes to OOF field "Field Service Status" option set is not supported by Microsoft. This field is on to Booking status entity.
It would be great to be able to add custom option sets -> own statuses. It is possible to add own option set at the moment (system allows it) but if you do so, if will break logics and bring problems and error messages as using the system.
Here is current situation form Microsoft Documentation:
The Field Service work order includes a field called "System Status" by default. This field is an option set (type "choice") with options like Unscheduled, Scheduled, In progress, Completed, Canceled, etc. Each of these options has a label and an associated numeric value. System administrators can edit the labels of option sets (like "Unscheduled") but can never edit the associated numeric value of the label.