I work part time at Best Buy, and I have seen a few of the Zagg glass screens come back completely shattered, but leaving the iphone screen intact.
Whether or not the phone screen would have shattered without the screen protector is unknown, but if the screen protector is shattering in impact, then that certainly is absorbing a decent amount of the shock instead of it being on the screen itself.
If the impact is hard enough on the corner, it's probably not going to offer any protection at all, but a direct glass-down impact on cement, I think it helps.
I use one on my iPhone 6 plus... I didn't use a screen protector at all on my 5 or 5s, and before that, they only had the plastic wet-apply protectors... which suck.