Some propeller arms will lock in place, but many are simply spring loaded. If the drone is designed properly, gravity and the angle of attack of the propeller assembly will apply force that also holds the arms in place during flight. The biggest benefit to not locking the arms in place is the buffer they provide if there is an impact. If your propeller arm can easily fold in, then it is less likely to snap, and less likely to transfer that force into the body of the drone. If it makes you feel better, we have never seen a spring loaded propeller arm fold in on itself during normal flight.