Why are Refunded and the return statuses missing from my order status dropdown?

The status dropdown on an order always has Pending, Processing, Shipped, Delivered and Cancelled.

The return statuses (Return Requested, Return Approved, Return Rejected, Refunded, Exchanged) only appear once the Return Settings plugin is active on your store. They also appear on an order that is already in one of those statuses.

With the plugin active you can manage requests from Orders → Returns, or pick a status on the order and click Update Status. The same applies to the Status filter on the order list.