In Saved Search, is there a way to filter a filter on Sales Order Status

I have a Saved Search (SS) type = Sales Order, where the user needs to filter on the Status, however when adding the status field to the available filters, it is returning all status's and not just the Sales Order Status's.

Researched the following would filter the status filter:

Add the Status field as an Available Filter:
On the "Available Filters" subtab, select "Status" from the Filter dropdown list
Check the "Show in Filter Region" box to display the filter options in the search results page
Restrict the Status options:
On the "Criteria" subtab, add a new filter for "Status"
Select only the specific status values you want to include in the dropdown (e.g., Pending Approval, Pending Fulfillment, Billed)