That was part of the sub menu section of the UNI and ALT templates. On the EVO template it is hidden in the Member Menu.
Then you have to press ENTER on your keyboard to set it because there is no button next to it. Not very easy to use, or easy to find. I will have to come up with a better way.
At one time with Dolphin, you could change the status message directly from the profile page by clicking on the message if you were the owner of the page. That was removed from later Dolphin releases for some reason. Since you change your thumb and cover photo on the profile page (although I hate having those buttons on the page showing when I go to view my page) it would make sense to just click on the status message and change it like it was done in the old days.
Thinking of status messages; there were a few modules in the old Boonex Market; I think Modzzz had some, that added some features to the status message; like being able to have several stored messages.