This is just showing whether your phone number is saved to the phone number description property on your SIM card. Some networks always program this in for you, many don't. Some phones let you write to this property, some don't, some read it, some don't.
It has nothing to do with what actual phone number is attached to that SIM card by the phone company.
It is possible to put your phone number in there, and is easier than you might think:
Go into Contacts -> [Menu] -> More -> Settings -> Own numbers -> [Menu] -> Create and type your phone number into the Number field, now Save.
Then switch your phone off and on again, and it should show the correct number (or whatever number you entered) in the status now.