Means that show status A and B regardless of any selection made in Status. But if you add the *, it means that show A and B when nothing is selected, but once you select something it will filter based on what you select.
Ex. If A and C is selected, only A will be shown because it is the intersection between what is selected and what is specified in your set analysis
Ex 2 if C and D are selected, nothing will be shown because there is nothing common between what is selected and what is within the set analysis.