They are designed to be like ski bindings - to not pop out for normal movements, but to release if you have an accident. Speedplays have a tension adjustment don't they? My Crank Bro's pedals don't, but they still will pop out if your foot is wrenched the wrong way!

Do beware of worn cleats and tension adjustments that are too loose (or bad pedals). My husband had a pair of spd compatibles (not Shimano, but a 3rd party) that were sooooooo bad. He popped both feet out by pulling up hard and took a nasty spill right in the middle of an intersection - the pedals went into the garbage.