By default, the administrator role should have the change issue status permission, but also requires the edit issue permission.
You can edit the user role and modify permissions in the admin -> projects -> security roles section.
There isn't a role / permission matrix documented right now but you can see the permissions here at the bottom of this class:
http://bugnet.codeplex.com/SourceControl/changeset/view/cb17fce4f9ce#src%2fBugNET.Common%2fGlobals.cs
