I think location and context matters the most. If it is in a bar or well populated public place where people are supposed to be social then it is completely fine as long as it is done respectfully, but if it is done in a place where people typically are running errands or its dark out, just stop.
Let me tell you an example of a 'just stop' situation; When I was doing school last year I had to go downtown and I parked at a siblings place that was 20 minute walk away from my school. My classes ended at 9pm each night and I would walk back to my car trying to take the most populated routes because cities have lots of weirdos. One freezing night I ended class a bit later than 9pm and had to walk pretty quickly back to my car because my city gets really dark and empty really fast in winter. So I was walking as fast as I possibly could with my headphones in and I stopped at a crosswalk next to some random dude, when the light changed I walked and thought nothing of it, he starts walking next to me so I walk way faster, he matches my speed next to me and I look over and he signals to me to take my headphones off which is a huge pet peeve of mine. I stop and take a headphone out thinking maybe this guy needs help or is lost or something, so I ask "Do you need help?" to which he replies "No I just wanted to see if you would talk with me for a bit" In my head I am SCREAMING but I politely tell him "Hey sorry I am actually in a big rush to get to my car" and he says "Do you mind if I walk with you a bit of the way?" that kind of weirded me out but I said "sure" because I am a saint and off we go. He starts telling me I seem very unique and I interested him and he started making very oddly close assumptions to what i did for school, what pets I owned, the hobbies I kept, etc and we are just kind of having a ...."normal" conversation and he is polite enough so we get to the two block mark and I stop and say, "Hey the train is back half a block you may want to turn around now" and he then pulls out the "would you go for coffee with me sometime?" and I am not interested so I say "Hey sorry I am a bit too busy to go date right now, especially with Midterms" and he persists saying "Oh well I am busy too but we can make time" and I say "Sorry I really can't, I barely have time for myself let alone anyone else it would not be realistic" and he persists again "We should try though, why not?" and I am annoyed now but I stay polite because I know what happens when you get combatant so I continue saying I have no time and I want to focus on school yatta yatta... He politely says thanks for the conversation and hopes to see me again and goes on his way. Now, after this I was really scared, I thought maybe he has guys somewhere watching me or he will follow me home, so I run the rest of the way and constantly turn my head to see if anyone is following me. I took a new route to my car after that.
The reason this story is important is because it shows a perfect example of location and context. Late at night, in winter, not very populated area of the city, and interrupting me when it is so painfully obvious I am not to be spoken to (ie. headphones in, walking very fast, backpack on). Even though he was fairly polite considering what he could have been like, the fear of being attacked or followed due to rejection was so strong for me and there are tons of women who feel the same and that is why cold approach is ...almost mean.
My advice to men who want to approach women in this way is: If this woman frequents the location (grocery store, coffee shop, gym, whatever) then try to establish a small relationship before asking her out, like try to strike innocent conversation that has nothing to do with her looks, and just continue doing this until you both are comfortable (or she at least knows your name and doesn't look pissed when you approach her). The number 1 issue with cold approach is that guys are freaking RELENTLESS, they do not know when to go away and leave a person alone, they also break the societal rule of HEADPHONES IN MEANS DO NOT DISTURB.
Anyway that is my 2 cents on the issue.