participant status doesn't export
It appears you have found a bug.  I tried just now on the Civi 4.6/Drupal demo site and got the same results as you with both Export Primary fields and selecting my own fields.  I would log it on JIRA.  https://issues.civicrm.org/jira/secure/Dashboard.jspa

I did a quick Google search and could not find any relevant issues already logged for this.