Status - Workflow

Yes it is possible.
(except for first status which is always "recorded")

In the workflow screen you will have all available status.
You just have to define a workflow (possible changes between status) that leads to some status, dedicated to projects, and define another workflow that leads to other status, dedicated to milstones.
Then in the project types you select first workflow and in the milestones types you select other workflow.

That's all.