Problem:
Search for posts with custom post status in views not working
Solution:
I checked it and the issue was with the third filter: Filter by post relationship or repeatable fields group owner.

With it disabled, the filter by status was working fine.

I checked it and it seems like the Owner participates of two different relationships. By selecting the only one relationship, it somehow was impacting with the status filter.

I changed it slightly, updating it to check if the current item in the loop has any relationship with the current owner.

And that seems to have fixed the issue.
Relevant Documentation:
https://developer.wordpress.org/reference/functions/get_post_statuses/
https://developer.wordpress.org/reference/functions/update_post_meta/