Does any affiliate program require you to have this approval?
I think that for affiliate programs is important to be CAP /GPWA approved (because more webmasters will know about them 
), and in general approved does not mean good, it’s like advertising
They may help visitors to know that the website is not behaving in a “Rogue” manner.
Players in general know nothing about CAP /GPWA
For link exchanges, CAP /GPWA approval may be important for new sites, but first other webmasters will check you PR/SE ranking