This is very strange to me, as I cannot Google any help on it at all. It appears that this deployment to our "Full" sandbox went fine despite the "errors" listed where it seems to have ADDED "support" for the Approval Process related items shown.
Added entity errors
Should I be concerned? I haven't tried it in Production yet - someone is testing it in Full prior to that step.
I went back to the original sandbox, and found nothing else to add to the ChangeSet, manually or otherwise. This literally one custom object, one approval process and one workflow, with their related components, that's it.