This idea is actually an oversight within the system. You can create a custom status and create approval process paths but you have to lock the status, meaning if you add a new Group into your system they have to use this custom status and it cannot be turned off for them.
The only workaround at the moment is to remove the approval process, unlock the status and go through each group that should have it hidden and then recreate the approval process. However, if there is an object with the process active, you cannot remove it.