Create an Opportunity Saved Search Filtered by Opportunity Status that Contains Opportunity Status and Item Details in the Results

As per testing and based from SuiteAnswers 13905:
A.) Navigate to  Lists > Search > Saved Searches > New > Transaction, Status is available but this field will only show the transaction status and not the status value coming from the Status field on the opportunity
B.) Navigate to  Lists > Search > Saved Searches > New > Opportunity, Opportunity Status is available but no item fields to get the item details

To filter an opportunity search with Opportunity Status = Closed Won:
1. Navigate to Lists > Search > Saved Searches > New.
2. Click Transaction.
3. Criteria > Standard > Filters:
Formula (Numeric) : is 1 : Formula : CASE WHEN ({entitystatus} = 'Closed Won') THEN 1 ELSE 0 END

Note: The opportunity status enclosed in single quotes should be exactly how the status is spelled and is case sensitive.
4. Click Results tab.
5. Add/remove fields base on the needs.
6. To add a column for Opportunity Status, select Formula (Text) from the Fields column.
7. Set the Formula column to {entitystatus}.
8. Set the Custom Label column to Opportunity Status.
9. Click Preview or Save & Run.