Image uploads will be automatically approved if (in the configuration settings), the "Auto Approval" checkbox is checked or if the user is the site administrator. In all other cases, uploaded images will have to be approved manually one-by-one. If the gallery is not marked as "Is Private" and a user assigned as the gallery owner (again in the configuration settings), any user with edit permissions on the module may approve an uploaded image for publication. If the gallery is marked as "Is Private" only the site administrator or the assigned gallery owner may approve an upload. To approve uploads, enter the "Edit Album" screen at the bottom of which you will see a listing of all uploaded images. Those without an "Approved Date" have not been approved. Click on the edit pencil beside the filename you wish to edit, fill in the "Approved Date" field with a valid date for the date on which you want the upload to be published, and then click "Update".
The current way in which permissions and upload approval leave much to be desired and will most likely be addressed with a per-album permission grid as well as an upload moderation workflow in a later version of the module.
Regarding the reason that only one of the three files was approved, I suspect that that one was uploaded while you were logged in as an administrator and the others by a non-administrator user. Let me know if that was not a good guess or the files were uploaded one after the other by the same user.
I am also not sure that you have the latest release candidate of the module as I recall fixing the display of unapproved images on the album cover in one of the last couple of betas. Which version number of the module did you install and from where did you download it?
Also, please be aware that the gallery module has not yet been released other than in beta or release candidate versions for testing purposes and should not be used on production web sites at this time.