That's too funny windmills do generate power out of thin air.Of course they use fuel (hydrogen). It's not magic.
It's a more efficient and safer form of nuclear power that doesn't generate radioactive nuclear waste. Or indeed the carbon and other emissions of burning fossil fuels.
The "more energy in than out" is referring to consuming this fuel, not generating energy out of thin air.
It's a fantastic thing. But a proof of concept by physicists so far. Will be quite some time still before engineers manage to make it a commercially viable reality.