I have always wondered about these wands. I have a hand held metal detecting probe that I use in my metal detecting hobby (I know, I know). Anyway, the probe is set at "All Metal", which as it suggests, picks up all types of metal and if I searched you with it I would pick up every bit of metal on you including zips, earrings etc.
Maybe their machines are set to detect a specific type of metal that is contained in certain weapons/explosives etc? It is possible to target specific metals with conventional metal detectors.
Just a guess as I have no idea what these things are supposed to do, they appear not to work to me.