If you put ${BUILD_URL} to Commit Status URL in the trigger setup of the job, it leads to the correct link after build is finished which is a correct behavior.

However this leads to disappearance of yellow "in progress" statutes. Apparently jenkins build macros are parsed correctly on trigger and start. This is the error message from the log:

Aug 28, 2015 12:13:54 AM INFO org.jenkinsci.plugins.ghprb.GhprbWebHook handleWebHook

Got payload event: issue_comment

Aug 28, 2015 12:13:54 AM INFO org.jenkinsci.plugins.ghprb.GhprbWebHook handleWebHook

Checking issue comment 'org.kohsuke.github.GHIssueComment@5dc59fdf' for repo braincorp/test_jenkins_ci

Aug 28, 2015 12:13:54 AM INFO org.jenkinsci.plugins.ghprb.GhprbPullRequest updatePR

Pull request #3 was updated on braincorp/test_jenkins_ci at 8/28/15 12:13 AM by User:olegsinyavskiy

Aug 28, 2015 12:13:55 AM INFO org.jenkinsci.plugins.ghprb.GhprbRepository commentOnFailure

Could not update commit status of the Pull Request on GitHub.
java.io.IOException: {"message":"Validation Failed","errors":[

{"resource":"Status","code":"custom","field":"target_url","message":"target_url must use http(s) scheme"}

],"documentation_url":"https://developer.github.com/v3/repos/statuses/#create-a-status"}
at org.kohsuke.github.Requester.handleApiError(Requester.java:503)
at org.kohsuke.github.Requester._to(Requester.java:248)
at org.kohsuke.github.Requester.to(Requester.java:194)
at org.kohsuke.github.GHRepository.createCommitStatus(GHRepository.java:829)
at org.jenkinsci.plugins.ghprb.extensions.status.GhprbSimpleStatus.onBuildTriggered(GhprbSimpleStatus.java:113)
at org.jenkinsci.plugins.ghprb.GhprbBuilds.build(GhprbBuilds.java:48)
at org.jenkinsci.plugins.ghprb.GhprbPullRequest.build(GhprbPullRequest.java:261)
at org.jenkinsci.plugins.ghprb.GhprbPullRequest.tryBuild(GhprbPullRequest.java:253)
at org.jenkinsci.plugins.ghprb.GhprbPullRequest.check(GhprbPullRequest.java:150)
at org.jenkinsci.plugins.ghprb.GhprbRepository.onIssueCommentHook(GhprbRepository.java:272)
at org.jenkinsci.plugins.ghprb.GhprbWebHook.handleWebHook(GhprbWebHook.java:53)
at org.jenkinsci.plugins.ghprb.GhprbRootAction.doIndex(GhprbRootAction.java:90)
at sun.reflect.NativeMethodAccessorImpl.invoke0(Native Method)
at sun.reflect.NativeMethodAccessorImpl.invoke(NativeMethodAccessorImpl.java:62)
at sun.reflect.DelegatingMethodAccessorImpl.invoke(DelegatingMethodAccessorImpl.java:43)
at java.lang.reflect.Method.invoke(Method.java:497)
at org.kohsuke.stapler.Function$InstanceFunction.invoke(Function.java:298)
at org.kohsuke.stapler.Function.bindAndInvoke(Function.java:161)
at org.kohsuke.stapler.Function.bindAndInvokeAndServeResponse(Function.java:96)
at org.kohsuke.stapler.MetaClass$2.dispatch(MetaClass.java:165)
at org.kohsuke.stapler.Stapler.tryInvoke(Stapler.java:746)
at org.kohsuke.stapler.Stapler.invoke(Stapler.java:876)
at org.kohsuke.stapler.MetaClass$13.dispatch(MetaClass.java:411)
at org.kohsuke.stapler.Stapler.tryInvoke(Stapler.java:746)
at org.kohsuke.stapler.Stapler.invoke(Stapler.java:876)
at org.kohsuke.stapler.Stapler.invoke(Stapler.java:649)
at org.kohsuke.stapler.Stapler.service(Stapler.java:238)
at javax.servlet.http.HttpServlet.service(HttpServlet.java:848)
at org.eclipse.jetty.servlet.ServletHolder.handle(ServletHolder.java:686)
at org.eclipse.jetty.servlet.ServletHandler$CachedChain.doFilter(ServletHandler.java:1494)
at hudson.util.PluginServletFilter$1.doFilter(PluginServletFilter.java:123)
at hudson.util.PluginServletFilter.doFilter(PluginServletFilter.java:114)
at org.eclipse.jetty.servlet.ServletHandler$CachedChain.doFilter(ServletHandler.java:1482)
at hudson.security.csrf.CrumbFilter.doFilter(CrumbFilter.java:48)
at org.eclipse.jetty.servlet.ServletHandler$CachedChain.doFilter(ServletHandler.java:1482)
at hudson.security.ChainedServletFilter$1.doFilter(ChainedServletFilter.java:84)
at hudson.security.UnwrapSecurityExceptionFilter.doFilter(UnwrapSecurityExceptionFilter.java:51)
at hudson.security.ChainedServletFilter$1.doFilter(ChainedServletFilter.java:87)
at jenkins.security.ExceptionTranslationFilter.doFilter(ExceptionTranslationFilter.java:117)
at hudson.security.ChainedServletFilter$1.doFilter(ChainedServletFilter.java:87)
at org.acegisecurity.providers.anonymous.AnonymousProcessingFilter.doFilter(AnonymousProcessingFilter.java:125)
at hudson.security.ChainedServletFilter$1.doFilter(ChainedServletFilter.java:87)
at org.acegisecurity.ui.rememberme.RememberMeProcessingFilter.doFilter(RememberMeProcessingFilter.java:135)
at hudson.security.ChainedServletFilter$1.doFilter(ChainedServletFilter.java:87)
at org.acegisecurity.ui.AbstractProcessingFilter.doFilter(AbstractProcessingFilter.java:271)
at hudson.security.ChainedServletFilter$1.doFilter(ChainedServletFilter.java:87)
at jenkins.security.BasicHeaderProcessor.doFilter(BasicHeaderProcessor.java:93)
at hudson.security.ChainedServletFilter$1.doFilter(ChainedServletFilter.java:87)
at org.acegisecurity.context.HttpSessionContextIntegrationFilter.doFilter(HttpSessionContextIntegrationFilter.java:249)
at hudson.security.HttpSessionContextIntegrationFilter2.doFilter(HttpSessionContextIntegrationFilter2.java:67)
at hudson.security.ChainedServletFilter$1.doFilter(ChainedServletFilter.java:87)
at hudson.security.ChainedServletFilter.doFilter(ChainedServletFilter.java:76)
at hudson.security.HudsonFilter.doFilter(HudsonFilter.java:168)
at org.eclipse.jetty.servlet.ServletHandler$CachedChain.doFilter(ServletHandler.java:1482)
at org.kohsuke.stapler.compression.CompressionFilter.doFilter(CompressionFilter.java:49)
at org.eclipse.jetty.servlet.ServletHandler$CachedChain.doFilter(ServletHandler.java:1482)
at hudson.util.CharacterEncodingFilter.doFilter(CharacterEncodingFilter.java:81)
at org.eclipse.jetty.servlet.ServletHandler$CachedChain.doFilter(ServletHandler.java:1482)
at org.kohsuke.stapler.DiagnosticThreadNameFilter.doFilter(DiagnosticThreadNameFilter.java:30)
at org.eclipse.jetty.servlet.ServletHandler$CachedChain.doFilter(ServletHandler.java:1474)
at org.eclipse.jetty.servlet.ServletHandler.doHandle(ServletHandler.java:499)
at org.eclipse.jetty.server.handler.ScopedHandler.handle(ScopedHandler.java:137)
at org.eclipse.jetty.security.SecurityHandler.handle(SecurityHandler.java:533)
at org.eclipse.jetty.server.session.SessionHandler.doHandle(SessionHandler.java:231)
at org.eclipse.jetty.server.handler.ContextHandler.doHandle(ContextHandler.java:1086)
at org.eclipse.jetty.servlet.ServletHandler.doScope(ServletHandler.java:428)
at org.eclipse.jetty.server.session.SessionHandler.doScope(SessionHandler.java:193)
at org.eclipse.jetty.server.handler.ContextHandler.doScope(ContextHandler.java:1020)
at org.eclipse.jetty.server.handler.ScopedHandler.handle(ScopedHandler.java:135)
at org.eclipse.jetty.server.handler.HandlerWrapper.handle(HandlerWrapper.java:116)
at org.eclipse.jetty.server.Server.handle(Server.java:370)
at org.eclipse.jetty.server.AbstractHttpConnection.handleRequest(AbstractHttpConnection.java:489)
at org.eclipse.jetty.server.AbstractHttpConnection.content(AbstractHttpConnection.java:960)
at org.eclipse.jetty.server.AbstractHttpConnection$RequestHandler.content(AbstractHttpConnection.java:1021)
at org.eclipse.jetty.http.HttpParser.parseNext(HttpParser.java:865)
at org.eclipse.jetty.http.HttpParser.parseAvailable(HttpParser.java:240)
at org.eclipse.jetty.server.AsyncHttpConnection.handle(AsyncHttpConnection.java:82)
at org.eclipse.jetty.io.nio.SslConnection.handle(SslConnection.java:196)
at org.eclipse.jetty.io.nio.SelectChannelEndPoint.handle(SelectChannelEndPoint.java:668)
at org.eclipse.jetty.io.nio.SelectChannelEndPoint$1.run(SelectChannelEndPoint.java:52)
at winstone.BoundedExecutorService$1.run(BoundedExecutorService.java:77)
at java.util.concurrent.ThreadPoolExecutor.runWorker(ThreadPoolExecutor.java:1142)
at java.util.concurrent.ThreadPoolExecutor$Worker.run(ThreadPoolExecutor.java:617)
at java.lang.Thread.run(Thread.java:745)
Caused by: java.io.IOException: Server returned HTTP response code: 422 for URL: https://api.github.com/repos/braincorp/test_jenkins_ci/statuses/ae2436be48beee85da424f9edd66c06d9aa85ecc
at sun.reflect.NativeConstructorAccessorImpl.newInstance0(Native Method)
at sun.reflect.NativeConstructorAccessorImpl.newInstance(NativeConstructorAccessorImpl.java:62)
at sun.reflect.DelegatingConstructorAccessorImpl.newInstance(DelegatingConstructorAccessorImpl.java:45)
at java.lang.reflect.Constructor.newInstance(Constructor.java:422)
at sun.net.www.protocol.http.HttpURLConnection$10.run(HttpURLConnection.java:1889)
at sun.net.www.protocol.http.HttpURLConnection$10.run(HttpURLConnection.java:1884)
at java.security.AccessController.doPrivileged(Native Method)
at sun.net.www.protocol.http.HttpURLConnection.getChainedException(HttpURLConnection.java:1883)
at sun.net.www.protocol.http.HttpURLConnection.getInputStream0(HttpURLConnection.java:1456)
at sun.net.www.protocol.http.HttpURLConnection.getInputStream(HttpURLConnection.java:1440)
at sun.net.www.protocol.https.HttpsURLConnectionImpl.getInputStream(HttpsURLConnectionImpl.java:254)
at org.kohsuke.github.Requester.parse(Requester.java:458)
at org.kohsuke.github.Requester._to(Requester.java:227)
... 82 more
Caused by: java.io.IOException: Server returned HTTP response code: 422 for URL: https://api.github.com/repos/braincorp/test_jenkins_ci/statuses/ae2436be48beee85da424f9edd66c06d9aa85ecc
at sun.net.www.protocol.http.HttpURLConnection.getInputStream0(HttpURLConnection.java:1839)
at sun.net.www.protocol.http.HttpURLConnection.getInputStream(HttpURLConnection.java:1440)
at java.net.HttpURLConnection.getResponseCode(HttpURLConnection.java:480)
at sun.net.www.protocol.https.HttpsURLConnectionImpl.getResponseCode(HttpsURLConnectionImpl.java:338)
at org.kohsuke.github.Requester.parse(Requester.java:454)
... 83 more

Aug 28, 2015 12:13:55 AM SEVERE org.jenkinsci.plugins.ghprb.GhprbRepository commentOnFailure

Could not update commit status of the Pull Request on GitHub.