Thank you for posting your idea. I understand the unfriendly nature of the current design of the Project Status filter. We are currently working on an enhancement that will change this to a multi-select pattern that will allow you to include and exclude specific project statuses as needed.
This is expected to be available in the product tentatively in the next few weeks.
This feature was implemented a little while back. The 'Project Status' filter in Reports now allow selection of specific project statuses to report on and exclude others that may not be needed. Hope this helps.