Yes they do work well. However, do this....loosen a prop to the point it can spin freely....then spin the prop in it's normal direction of rotation....what happens?
If screws off in a hurry. Surprised?
My point is that if your props somehow work themselves too loose and the motor drops speed suddenly and the prop is free to turn, it can come right off in a hurry. Only air resistance (or the fact that you sufficiently tightened the prop) prevents it from coming off.
This is why DJI says to tighten them with both hands. I do not believe they mean for this to be taken lightly. They mean get them on good and snug.
They are self tightening, as long as there is sufficient air resistance against the prop which is normally. It is that resistance that provides the "self tightening".
I suspect this may happen more often that people think. At high speed, the props have inertia, maybe not a great deal, but they do have some. This is magnified if you were in a rapid ascent because the air flow will tend to push the props in the direction that would also unscrew them.
So rapid ascent (wind descending across the prop) combined with loose prop and at the same time a sudden drop in motor speed occurs would be the perfect storm to lose a loose prop.
Better safe than sorry. Tighten the props enough so that they cannot become loose.