I wouldnt inform him of your status with any other school. When they say that they mean when you hear from their school. I let my interviewers know when I received my decisions but nothing before that. I think that question gets asked to see where they might fall and also to see what if your claims of fit make sense. You dont want to say I love the big city life of Chicago and then say you are applying to Tuck. Or I like the various teaching styles since I think thats my ideal learning environment and then say you are applying to Darden.
Kellogg vs GSB is something that isnt going to hurt your chances, for all you know it could help him write you a better one if he really does think you are a good fit since he will want you to go there instead of GSB to deprive them of such a stellar candidate.
If you find out after you hear from other schools you can always say, I was admitted to school Kellogg and I plan on choosing it over school X. Or I was dinged by kellogg but I was admitted to school X. I think they do like to hear you had some success, and like it even better when you tell them you are goign to their school. My GSB interviewers response to my ding at GSB and admit at Kellogg was interesting, he actually said Kellogg was probably a better fit for me and my career goals, then joked that it may have a worse building but its got a much nicer location. These people do genuinely care that you succeed in your goal of getting an MBA, remember they were once in your shoes.
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Kellogg Class of 2010...still active and willing to help. However, I do not do profile reviews, don't offer predictions on chances and am far to busy to review essays, so save the energy of writing me a PM seeking help for these. If I don't respond to a PM that is not one of the previously mentioned trash can destined messages, please don't take it personally I get so many messages I have a hard to responding to most. The more interesting, compelling, or humorous you message the more likely I am to respond.