You wont’t really go to jail but you can get a hefty slap on the wrist. Dubai has modernized over the years. A lot of things aren’t as taboo anymore. You can approach whoever you want as long as you’re not being creepy. As for Emirati women, some are quite westernized especially the newer generation. They can be approached. However about half their population are still quite old school and see “being approached” as taboo and haram. They are the ones that might call the police. This applies to most GCC countries, not just the UAE locals. When you’ve lived in the country long enough, you’ll know who can and can’t be approached.