Note: By Default, 'Campaign Member Statuses' are not added to Campaign object related list. Please make sure to add the 'Campaign Member Statuses' into the Campaign Page layout related list
See also:
At this time, mass modifying cannot be done for all Campaigns at once, but instead has to be done individually on each Campaign.
Customers that would like to be able to manage this for multiple campaigns at once should visit the IdeaExchange and promote Customizable Campaign Member Status Values Picklist.
As a workaround:
Note: The workaround provided only works in Classic UI but not in Lightning.
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