Steps to reproduce:
Scenario 1
1. Edit a page
2. Add the status macro.
3. Select the lozenge created by the status macro: click link.
4. Use the search dialog to link to any page within confluence.
5. Save. Lozenge is replaced by link

Scenario 2
1. Edit a page.
2. Add the status macro.
3. Select the lozenge created by the status macro: click link
4. Use the weblink dialog and paste a url into the box referring to an internal confluence page (or any page for that matter)
5. Save. A lozenge is created that when clicked, links you to the external resource.

Preferred Scenario: 2.