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Your lead lifecycle can be totally customized however you'd like it to be. The way I have seen lead lifecycles formatted in the past is exactly how you describe, there's a routing campaign that ***** a lead's qualifications and sorts them into the correct status from the start - they won't flow through earlier stages in the funnel. That is pretty standard practice. If it is very important that all of your leads flow through Known first, you can certainly set it up that way, but I think that might falsely inflate your conversion numbers - those people aren't truly being "converted" to a new stage by your marketing efforts, they're just automatically being pushed through based on their original criteria. It could also make your time to convert numbers look really funky and set a pretty unfair benchmark for your team with so many outliers dragging down the mean conversion time!
Hope that helps!