I can't speak for other sections, but for challenges, a lot of threads get submitted that are just YouTube channel advertisements, duplicates of existing challenges, and blatant rule breaking threads. It would be a pain and look awfully cluttery in that forum if I had to lock each of those threads instead of go through and approve them. I also have a thread where if a challenge is unapproved, I post why it was unapproved so that the person that posted it knows why it wasn't approved, and how it can be fixed.
I assume in a forum like Emulation though, they get a lot of threads to approve and it would be even more time consuming to have to make a thread and list reasons they aren't approved. And I'm sure they get plenty of rule breaking threads or simple question threads and such.
tl;dr It's basically just to prevent a forum from having unnecessary clutter. Most sections don't go by the approval system anyway, so it's not really a big deal.
