The sidebars aren't automatically created for new lead statuses when they're added or changed in Settings › Lead Status. If you'd like to add a saved sidebar for a new lead status you've created, you'll just go to your All Leads list in the left sidebar and do a filter for 'status is...', choosing the appropriate lead status, and then save it as a new sidebar item using the option in the Actions dropdown in the top left of the report.
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