For an open subset \(\Omega\) in \(\mathbb{R}^n\), \(1\leq p <+\infty\) and \(0\leq \lambda \leq n\), let us consider the classical Morrey spaces \(L^{p,\lambda} (\Omega)\), defined in the homogeneous case, as \[ L^{p,\lambda}(\Omega)=\{ f\in L^p_{\text{loc}}(\Omega): \;\sup_{x\in \Omega, r>0} {\mathfrak M}_{p,\lambda}(f;x,r) <+\infty\}, \] where \[ {\mathfrak M}_{p,\lambda}(f;x,r):=\frac{1}{r^{\lambda}} \int_{B(x,r)\cap \Omega} |f(y)|^p \;dy, \;x \in \Omega, \;r>0, \;f\in L^1_{\text{loc}}(\Omega). \] Approximations to the identity do not behave well in general Morrey spaces, except for appropriate subspaces of Morrey spaces such as the so-called vanishing Morrey space \(V_0L^{p,\lambda}(\Omega)\) consisting of all those functions \(f\) such that \[ \lim_{r\to 0}\sup_{x\in \Omega}{\mathfrak M}_{p,\lambda}(f;x,r)=0. \] If \(\lambda>0\), \(V_0L^{p,\lambda}(\Omega)\) is a proper subspace of \(L^{p,\lambda}(\Omega)\) and also, for \(0\leq \lambda <n \), and in the case \(\Omega=\mathbb{R}^n\), the subspace \(V_{\infty}L^{p,\lambda}\) consisting of all those functions \(f\) such that \[ \lim_{r\to \infty}\sup_{x\in \mathbb{R}^n}{\mathfrak M}_{p,\lambda}(f;x,r)=0 \] is also considered. On the other hand, for \(0\leq \lambda <n\) and \(1\leq p <\infty\), we denote by \(V^{(*)}L^{p,\lambda}\) the set of all \(f\in L^{p,\lambda}\) having the vanishing property \[ \lim_{N\to\infty} {\mathcal A}_{N,p}(f)=0, \] where \[ {\mathcal A}_{N,p}(f):=\sup_{x\in \mathbb{R}^n} \int_{B(x,1)} |f(y)|^p \chi_{\mathbb{R}^n\setminus B(0,N)}(y) \;dy, \;N\in \mathbb{N}. \] The main results of the paper consist of proving the following proper embeddings: \[ V_0L^{p,\lambda}\cap V_{\infty}L^{p,\lambda}\cap V^{(*)}L^{p,\lambda}\subsetneq V_0L^{p,\lambda}\cap V_{\infty}L^{p,\lambda}\subsetneq V_0L^{p,\lambda} \subsetneq L^{p,\lambda}. \] Also it is shown that, for any \(0\leq \lambda <n\) and \(1\leq p <\infty\), every Morrey function \(f\in L^{p,\lambda} \) such that the translation operator is continuous in the Morrey norm (that is, functions satisfying the so-called Zorko property) can be aproximated in the Morrey norm by \(C^{\infty}\) functions. Finally, generalizations of some known embeddings of Morrey spaces into weighted Lebesgue spaces are also shown.
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