It can mean one of two things:

a) The PRB (Peer Review Board) has been very busy and hasn't had a chance to look at it fully, so rather than keep it held up, it is allowed to go live but unapproved while reviewing continues. This should only be a temporary condition. If anything has been live but unapproved for a long time, it is likely to be (b).

b) The PRB has looked at it and there are some issues that preclude its approval, but are not serious enough to block it going auto-live and the developer has not fixed them. Such issues are typically lack of internationalisation, lack of documentation, interference with other marketplace items, interference with the dashboard, difficulties installing or limitations on the server environment, being possible to cause errors or break a site if mistakes are made in its use, poor usability. Without PRB approval, the reputation of such addons depends on users posting reviews.

In both cases, if a user of a theme (or addon) then reports back that there are serious issues, such a theme or addon maybe removed from the marketplace and returned to the PRB or deleted completely.

As with anything in the marketplace, If in doubt, ask the developer before buying. The timeliness and detail of their answer will tell you a lot about whether you are safe to purchase it, irrespective of whether it is approved or not.

PS. This page contains more details of how the PRB operates and the linked howtos at the end of the page provide an idea of some of the checks made before approval.
http://www.concrete5.org/developers/submitting-code/marketplace-sub...