I see the problem, and I have no clear answer. If the entity is in a collection, the collection will fire a listchanged event for the entity and the grid should update the row.
As I said, it's problematic for us to fix it properly in the current code. I will file a bug for it so it's fixed in v2, but that's of course not a solution to your current problem.
What you can do, which is a little lame, is this:
myEntity.StatusCode = myStatus.Code;
myEntity.Status = myStatus;
This will trigger the FK field set event. I know it's a 2 liner when you could have just 1 line of code, though it's what I can offer now.