Screws in bricks/concrete are basically friction fit: you put in the plastic sleeve which is already snug in a hole if properly drilled, then put the screw in. The screw is like an inclined plane as somebody else said it and has immense mechanical leverage. It expands the sleeve and crushes it into the rough surface of the hole with extreme force. A well chosen fastener will not be that much weaker than directly casting that screw into the concrete/brick. Nevertheless there are supplementary products than can be sprayed into thehole to make extra sure things stay in. The big ones used for mounting water heaters plus the epoxy hole filler get you a screw that [takes more than a ton to pull out](https://link.springer.com/article/10.1617/s11527-020-01536-2#Tab4).
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