The kee-clamp stuff is used to make handrails because of the ease of use (two pipe fittings rarely screw in the same amount) and most handrails won't meet code if they have exposed thread. It has nothing to do with strength. Handrails are usually welded pipe or tubing.
I wouldn't park a car on it but I would have no problem standing on that shelf you showed. No need to put anything on the threads to lock them. Just assemble tightly with a wrench and you are good to go.
