The non-existence of CR submanifolds of maximal CR dimension with umbilical shape operator in holomorphic statistical manifolds is proven. Our results are a generalization of the known results in the theory of CR submanifolds in complex space forms. Statistical manifolds in this paper are considered as manifolds consisting of certain probability density functions. In this setting we have two shape operators in the distinguished normal vector field direction with respect to the affine connection of the ambient space, and the one with respect to the dual connection. After obtaining the fundamental equations for CR submanifolds in holomorphic statistical manifolds, we examine umbilical dual shape operators.