When you click the "Use" button in the edit window of the saved status window, it also seems to save changes. I wouldn't expect it to do this, since the other two buttons are "Save" and "Save & Use".
By "Saved," do you mean it actually shows up in the Saved status dialog, or just in the status dropdown? If you just mean the dropdown, that automatically includes the last few recently used statuses.
It's in the saved status dialog. When I click "Modify" in the saved status dialog, and change the message, if I then click "Use", rather than one of the options that includes "Save", pidgin saves my changes (which are visible in ~/.purple/status.xml).