I made few local changes in the master
That's not actually what you did. You made changes to the files in the directory. Until you commit those changes, they're not "on" any branch, they only exist in the working directory.
The "status" in question is the state of the working directory, compared to the branch that you're currently working on, which was master.
It's not that modifying one branch changes the status in another, it's that you've changed the status of your working directory. When you switched branches, the uncommitted changes stayed put. When you committed those changes to the new branch, they were no longer untracked, so Git no longer has any untracked changes to report to you.