I do not think you will find a documented convention for a denied claim. Even though the claim (payment) was denied, the medical event or medication probably happen so a medical event/drug record should be created. I assume by ‘payment status’ you mean cost. I do not know how detailed your source information is, but would it not be sufficient to say that paid_by_payer (the insurer) is 0?
Columns that end in ‘_type_concept_id’ are intended to identify the provenance (where the record came from in the source). It would be nice to change the column name because people assume that type should hold something like ‘denied claim’ rather then ‘Claim’ or ‘Payer system record (primary payer)’. But changing a CDM column name is not easy. If you really need to track denied claims, add a column to the appropriate table, but it is not something the CDM tracks.