Yep. Not possible.
If you have a custom field in SFDC, Marketo should see this (as long as the Marketo User can see it) and it will sync automatically.
So you should see Event Status as a filter option.
If you mean that you have customized Activity with a Event Status on the Activity, I don't think Marketo will pick that up at all. You might try looking at your Object Sync and refreshing it.