This question is so basic, so I feel myself stupido idioto...
If I want set status, I have to forge Response object with that status code, but I must return it and my template will not be used with my content... I think it's stupid to set Response object to $this->template->content property and expect status code will be set, isn't it?
A controller has a property called "response_status", so you can simply do
$this->response_status = 403;
This will be used when the Controllers' after() method constucts the Response object. Unless your controller method already returns a Response, in that case the status code of that object is used.