Speakers and microphones are mechanically very similar.
Microphones work by using vibrations in the air to move a magnet, which sits inside a coil of wire. Current is induced in the wire, and interpreted by the computer as sound data.
Speakers use the same process in reverse; sound data is converted to electrical current, which runs through a coil of wire around a magnet. This causes the magnet to oscillate, vibrating a membrane.
(You can plug a cheap microphone into your sound-out port, hold it up to your ear, and hear this in action).
I imagine the cheap splitter just connects the 3 connections together (the male input and the two female outputs). The speakers are then inputs to each other; from their perspective they can't tell if signal is from the other speaker or from the computer.
I naively imagine a better quality splitter would use magix to prevent this. You are still likely to get degraded sound quality, or at least a decrease in volume.