Modifying the order statuses within VirtueMart is not recommended and requires expert knowledge of how VirtueMart works.
Modifying the Pending status setting in the PayFast module is not going to change the status an order gets when it is first created. That is up to VirtueMart itself. That setting works differently to the way the Successful and Cancelled ones work. For the Pending one, you are basically telling that PayFast module what status is considered to be 'Pending' in your VirtueMart installation, not what the module must set pending payments to, as that is up to VirtueMart when the order is first created.
The Successful and Cancelled options are however used by the module to update the order status appropriately based on feedback from PayFast.
If you want to change the VirtueMart statuses in line with your business processes, you will need to consult the VirtueMart site or the internet for help in this regard as to what to do within VirtueMart to achieve this and then update the PayFast module 'pending' option in line with your changes to VirtueMart.