I don't know maybe it is correct behaviour (probably not), but in Sales
→ Orders
→ Specific Order
in comments history box I have available only Pending
status. Why is it so and what/where to change to have the rest of the options?
Update 1
There seems to be statuses assigned to states in Magento. Maybe something is wrong there?
new
state is Pending. You need to click the buttonAssign Status to State
which will then group them together. Have a look at the answers to your question below.