Out of the box, project and project task state choices are defined at Task table level.
Users can define custom states for project and project task on their parent table (task or planned task) or on the direct tables. When defined at direct table level please ensure define all the required state choices.
Note: Once the Project/Project Task table level state choices are defined, planned task level choices are ignored, same for dictionary override as well
When custom choices for the state are defined, then these new choices need to be added to the respective state buckets
For example, the user added a new choice for the state called Prioritized (201) on the task table
User must add this new choice to one of the state buckets in dictionary override attributes field
If the user missed adding this entry in Dictionary Override, while saving the Project or Project task with the new state choice, the system will throw an error like below 
And also, the administrator needs to ensure the value mentioned for default and default state buckets are correct. (i.e. proper state choice should be defined for those values). Else state dropdown shows numerical/illegal values like below
While defining dictionary override for pm_project and pm_project_task make sure all state buckets are mentioned in attributes field else planning console will not work properly.
If custom states are required for Project and Project task define these custom states at Planned Task level.
If custom states are different for Project and Project Task then define at these tables level.
Long story short: Ensure all the choices are defined at the right table, mapped to the respective bucket in dictionary override and all buckets are added.
Please refer documentation link for defining the custom state, Custom Project Task State
