Approval Process that is Denied - status doesn't change

We have several approval processes configured, when Approved - the status changes from Pending Approval to Approved.

However, when Denied - the status stays in Pending Approval.

I have configured in the "Status Types" - to make sure the "Approval Denied Status Type" is set to "Denied".  But it doesn't seem to work.

Can anyone tell me what I'm missing?

Thank you!