These statuses seem to be ICQ specific, I tried to remove them from
~/.purple/accounts.xml but that file gets overwritten on every start and the statuses keep coming back.
The status "evil" and "depression" are hardcoded in the source of pidgin. There seems to be no way to remove them other than patching the source and recompiling.
Check the source of the oscar protocol in pidgin 2.9.0 (oscar is the name of the ICQ protocol, 2.9.0 is the current official release). Search for "evil" or "depression". You will see that they are hardcoded statuses.