If you look at this installation video (~13 minutes, also posted above), you'll see that in addition to the threading at the top onto the steerer, the shaft has a split bottom with a wedge (starting a bit after 10 mins.).
My beef with the product, just looking at it, is that the shaft above the headset is shorter than I might like. Plus, when the bearings go (can't be roller bearings, it seems to me) where are the replacements? (not on the "shopping" page). The Innicycle site is remarkably thin on technical info, but they do seem to support 26.4 vs 27.0 crown races and spacers (albeit for extra $?), French threading and even Schwinn.