I have set custom workflow statuses using the Set Workflow Status action, and it works correctly thru 5 or 6 action sets all the way to the end. However, the final status, when I set it change to "Completed" to match the internal status, it gets treated like a change to the item and causes the change workflow to loop.
I tried putting it in several different layers of nested action sets and "run-if"s, but no matter where I put it, if it's at the end of the workflow it loops.
I found one post that sounds like the same thing is occurring when status updates are made for Library documents and the work-around was to set the status, then mark the document checked in, but I don't know what I can do to a list item that wouldn't also be seen as a change and cause the change workflow to loop. I tried adding a log entry action after it, but no luck. Same result adding a "Pause for Duration" after it.
This is really driving me crazy! I like having all of the steps of the workflow shown in the custom statuses, but if I can't have one that says the workflow is completed, it makes it look like the workflow didn't complete. This will definitely confuse users.