They are ordered by StatusOrder column (it is integer and different from OrderStatusId) and it is not shown in the grid, i.e. if you do it in SQL
select * from com_orderstatus order by StatusOrder you will get exactly your order. If you don't like this order you can edit unigrid on /CMSModules/Ecommerce/Pages/Tools/Configuration/OrderStatus/OrderStatus_List.aspx
No impact except the disordered look.