I have created Saved search showing all of my Purchase Orders. I added "Status" as a Criteria (adding all PO related statuses), added status as a result field and as an "Available Filter" too. Filter shows ALL transactions statuses. Can I "filter the filter" that I could only see PO related statuses in the Filter drop down list?

No you can't. That's why you should use parans ( ) in your criteria to filter down to the PO statuses you need and organize them by highlighting. So Transaction = PO and status is x or y or z If you are just using the native 'status' field it will show to many results