It requires two different ROW_NUMBER()s.

;
WITH StatusGroups AS
(
    SELECT *
    ,    Grp = ROW_NUMBER() OVER(PARTITION BY EID ORDER BY StartDate, Stat) - ROW_NUMBER() OVER(PARTITION BY EID,...

It looks like you are using string manipulation to convert your CoverageEffectiveDateKey and CoverageEndDateKey from yyyymmdd format to mm/dd/yyyy format.  DATEDIFF is perfectly capable of handling strings in yyyymmdd format, so don't...

Let me put this another way.

J. Drew Allen
Business Intelligence Analyst
Philadelphia, PA