Hi!
At the moment, which you mentioned above, the SFC does not exist yet, and you cannot tell the system which status should be used at SFC creation. This status will appear only at Shop Order Release. So it looks as if you need to write a hook for POST_ORDER_RELEASE hook point activated at site level. Then this hook might be able to operate on the just created SFCs to change their status.
Regards,
Sergiy