First check in TC 'CRMD_ORDER' transaction and try to change status here.
Are you able to change status for header?
If the same error comes there then the system will not allow you to change the status.
Also check status profile assigned to your transaction type. Check whether E0005 is assigned there or not.
SPRO->CRM->TRANSACTIONS->status management->Define status profile for user status.
It will look like:-
Thanks
Kumar