Why do ligands approach along the axes?
You basically said it.


  They can approach from anywhere.


Well, I can define the axes to be anywhere.

An isolated atom in vacuum with degenerate d-orbitals does not know where $x,y$ or $z$ are. Hence, the $\mathrm{d}_{z^2}$ orbital does not have the ‘orientation’ you know from pictures — it only gets that once in some way axes are defined. You could now go ahead and define that one of your octahedral ligand approaches the central metal (placed at $(0,0,0)$) from the coordinates $(1,1,1)$. Get out a large sheet of paper and a new pencil and do the maths, calculating what the final orbital distribution will be. The maths will be a lot more complicated, but the result will be the same. Hence, chemists decide to not do complicated maths and just have octahedral ligands approach along the coordinate axes.

Note that in tetrahedral complexes, the ligands would indeed approach from $(1,1,1)$ and the symmetry-equivalent positions of a tetrahedron.