TL;DR
They can in theory improve security a bit in general, but not if you are trying to protect from anyone you would actually call an attacker. In practice they can provide a bit more privacy in some situations, but then using your phone might become a hassle and in the end it might not be worth it.
Long version
If you use different passwords for each app, or at least different passwords for apps that are supposed to be accessed in different situations, then yes, I believe it can add some security, but it might not be worth the hassle.
I am thinking of this example: suppose you have three different passwords, one to unlock your device, one to unlock your email application that you only use for work, and one to unlock your picture gallery. Now, it's probably very easy to steal one of your passwords/pins/gestures by shoulder surfing, especially by people who are frequently around you like friends, partners, etc. When you are hanging out with friends the password you type most often is probably the one to unlock your device, then you might also type the one to unlock your picture gallery pretty often, and you probably won't type the password to access your work email at all. So a friend might grab your phone, unlock it, browse the gallery, but not read your work email. If you have a phone that requires your fingerprint to unlock the screen, then the above scenario only applies if somebody grabs your phone while it's unlocked.
So this was just to show that it can indeed add some security, and as usual it depends on the possible scenarios and possible "attackers". On the other hand, you will have to use several different passwords, enter them too often, and there are probably some applications containing potentially sensitive data that you need to access very frequently in a lot of different situations (whatsapp?), so protection becomes less effective even in the scenario I described above. I'm also not sure whether it can slow down a decent attacker (not your average friend, unless your friends are decent attackers), preventing them to access some of your application data at least for a while, at least until you discover your device has been stolen and maybe remotely wipe all your data, but the link provided in a comment to your question seems to imply that a decent attacker won't really be hampered by this application for long.