This option ('caa_approved_only') is enabled by default, according to https://github.com/musicbrainz/picard/blob/release-1.3.2/picard/ui/options/cover.py#L132

It was added with a False default, in https://github.com/musicbrainz/picard/commit/940c48a458adb70f6a0576eb72bc46be10e5256e#diff-393e660f22239a913ec61faa2cc64baeR44
Though i changed it to True by default, in https://github.com/musicbrainz/picard/commit/3f4e8a009f7c60fe12615a2f8cad0bc639734061#diff-393e660f22239a913ec61faa2cc64bae

This was a bad move, users (especially new ones) expect cover art images appearing on MusicBrainz website to show up in Picard as well.