If the first place you reference the variable is when you are assigning it a numeric value then the variable will defined as numeric. So define the variable BEFORE using it.
length chol_status $20;
Also you told it to set the missing value to Safe with this statement:
if cholesterol<200 then chol_status="Safe";
SAS will consider any of the 28 missing values that SAS supports as less than any valid value.
You probably meant to have another ELSE.
if missing(cholesterol) then chol_status=' ';
else if cholesterol < 200 then chol_status='Safe';
else if cholesterol <=239 then chol_status='High-Borderline';
else if cholesterol >=240 then chol_status='High';