You sort of have to think in reverse. When locked, the blades are
like an airfoil at an angle of attack of nearly 90 degrees, not very
efficient. When turning, the blades are at a low angle of attack and
more efficient. A parachute is less efficient per unit area than a
wing. When the prop freewheels, it's rotational speed makes the water
flow over it faster than when it is just dragged through the water at
boat speed. Whatever force is produced has to be reflected in drag on
the boat as a whole.

This is a very crude pointer towards understanding a complex set of
relationships so, others, please don't bother jumping all over me to
point out how it isn't a rigorous and complete explanation.

There are a narrow range of conditions when a freewheeling prop may
have less drag than a fixed one but they are not commonly encountered
in actual vessels.

--

Roger Long