Hello Claudio,
Your surmise is correct. There is only one set of status values per project.
In general, it isn't possible to customize any part of EA's behaviour on a per-package basis. There are global settings, and per-project settings, but not per-package settings. In this particular situation there are three workarounds that I can see.
1) Add all the status values the different teams use, possibly with some prefix, to the project settings and instruct each team to only use those values that are relevant to them.
2) Create (enum) tagged values with the different status types and use those instead of the built-in status. If you create a profile, you can define stereotypes which auto-create these tagged values, but you can also just add them manually to the elements where they are needed.
3) Split the project so that different teams work in different projects, each with its own set of status values.
It should be noted that EA does some special handling for the status field, and can display a colour for the element based on it. It isn't clear from your question whether you use that feature or not, but if you do then that's where you need a shape script if you go with option 2, as Oliver pointed out.
HTH,
/Uffe