there's usually not a way to remove the connection between the two statuses without removing the connection between the request and the project completely. The most you would be able to do is set up a number of custom statuses to equate to various project statuses. e.g. a Project Status of "Active" could equate to a Request Status of "Request Converted" for example.
Other than this -- it would be completely manual, but you could set up a calculated field on the project and the request to maintain the historical record to each other (e.g. a field that is a link to the converted project/request), and then once the project is created, you'd be able to go back and sever the connection.
I personally prefer to just filter converted requests out of all my reports.