Try below :
IF status = 'New' THEN 'New'
ELSEIF status = 'Working' THEN 'Working'
ELSEIF status = 'Converted' THEN 'Converted' ELSE 'Rejected'
ELSEIF NOT ISNULL([status]) THEN 'Total Leads'
Basically you need use isnull in the end, because your logic for Total Leads is when [status] is not null, so if you put it in the first condition, e.g. if status = 'New' also meets is not null condition.
Hope this helps