When you call self.client.change_status(...) a message is queued to be sent. You need to yield to the gevent event loop to allow the message to be processed. You could use client.idle() or client.sleep(seconds). That would change the online status of client instance, which a separate session for your account that the session on Steam desktop. If your status changes in one session, it may display in other sessions, like when you are playing a game, etc. Once you kill that session, it will revert back.

Note that you can't use this to control you Steam desktop client. For example, if you want to create a script change your status.