Your Táve account will come with some existing sidebar lists for Lead Status. These are essentially saved filtered searches. For example, the sidebar list Leads > Initial Contact is actually just a saved search for all leads with the lead status Initial Contact.

Adding or changing lead statuses in Settings > Lead Status won't automatically create new sidebar lists. To make a new sidebar list, first go to Leads > All and click into the top bar to add a status filter:

When you hit search you’ll then see all the leads with that lead status (it's fine it that's 0 results for now!)

Once you have that filtered list on screen, use the Actions dropdown to create a new list using this search. Your new list will then appear in your sidebar:
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You'll be able to repeat these steps for all of your new lead statuses to make a sidebar list for each of them.

After you've added your new sidebar lists, you can also reorder where they appear in your sidebar and add custom lists to your dashboard for quick access to your filtered lists.