Have you published the inactive workflow?

That should allow you to change the approval engine. Also check the 'notes'-column for additional information.

From the docs:

If the Approval Engine option is greyed out and shows Turn engines off, read the Notes in the same row. The most common reason an approval engine is turned off is that a workflow is managing the approvals on the table. Having the approval engine turned off prevents conflicts with the workflow that could cause a range of issues. If you want to use an approval engine on the table, set the workflow to inactive. 

Reference:https://docs.servicenow.com/bundle/paris-servicenow-platform/page/administer/service-administration/...