I opened my eyes, and read the Help file text more closely.
This method sets the value of pxMethodStatus after the activity has finished executing. One question self-answered!
The Help File also states "The message is added to the page."
I created a test case. I did "Call TestStatus" with a step page of MyPage. My next step was a Show-Page of MyPage - there were NO "page messages" on this page (like you would see with Page-Set-Messages).