Multiagent with MCP tool approval giving "ApprovalStorage is required to load approval request."

I am trying to create a sample Foundry hosted agent with WorkflowBuilder as given below:

workflow_agent = (
        WorkflowBuilder(
            start_executor=summary_executor,
            output_executors=[change_executor],
        )
        .add_edge(summary_executor, change_executor)
        .build()
        .as_agent()
    )

    server = ResponsesHostServer(workflow_agent)
    server.run()

I ahve added each agent with their respective MCP tools with approval_mode.

mcp_tool = MCPStreamableHTTPTool(
            name="HostedMCP",
            url=mcp_url,
            load_prompts=False,
            allowed_tools=allowed_tools,
            approval_mode={
                "always_require_approval": always_require_approval,
                "never_require_approval": never_require_approval,
            },
        )

When trying to run the code in local venv, I am getting the error "ApprovalStorage is required to load approval request.". I see the .function_approval/approval_requests.json is also not creating any approval requests in the WorkFlowBuilder introduction.

FYI, When I use a single agent and use the same MCP, I am getting the approval saved in the JSON and approvals works as expected