If you can't find your friend's status in the above-mentioned folder, then the most likely reason is that you've turned off "auto-download" of media in WhatsApp. To turn this back on (even if temporarily), go to your "WhatsApp Settings -> Storage and data", then in the "Media auto-download" section, tap the type of connection you want auto-downloads to work under (data, Wi-Fi etc.), then make sure that "Photos" and "Videos" are set to auto-download.