Hi Imran,
It's not specifically possible to prevent saving of line item data through CRM_ORDER_STATUS , because there could be a possibility some one may change other things along with status on the item . In that case if you raise a NOT_ALLOWED in this BADI , it will only stop the status from not saving while other things related to that item shall save.
So I suggest that, you use ORDER_SAVE badi , here you can particularly block the save operation and give error messages to the user too.
/Hasan