This is using concrete though. It is pretty trivial to attach heavy things to concrete with screws.
I think the only reason you wouldn't use screws is if you don't want to leave a hole (but then you probably don't want weird knobs sticking out), or if it's meant to be temporary.
Screws spread the force out over about 1/16 sq in. A mere 4x4" of this stuff would spread it out over 256 times that area.
Screws don't really support the weight of the object they are holding. They pull that object into the wall. The resulting friction is what holds most of the weight.
To see this, try loosening the screw, and notice how it quickly looses the ability to resist forces perpendicular to the screw; whereas it's ability to resist forces in the direction of the screw is largely unchanged.