Right. I've seen that kind of stuff, and masonry drill bits, etc.
What I wonder about is how well such screws "adhere" to the masonry,
or whether one has to inject some kind of filler/glue/cement.

The blue coating on those screws is also a heat-activated glue. The
coating heats up from friction as it goes into the concrete, then sets
when you stop. If you stop halfway, the screw stays there. You'll need
a good driver to put them all the way in without stopping.

--
Steve Bell
New Life Home Improvement
Arlington, TX USA