Typical clip leads from budget/low-margin sellers are on the order of 0.1-0.3 ohms. Maybe even more. They may use CCA (copper clad aluminum) or even steel wires, or just use very much less metal than you'd expect in a wire of given size.
To wit, I have a DMM here with brand name leads plugged in, and I'm fortunate to have it read "000.0" ohms when shorted. So, ±0.1Ω give or take. With a clip lead inserted, I read 0.1Ω. With an alligator lead, 0.2-0.3Ω -- the latter are thicker, and have larger connectors, so you would expect them to handle more current, but you would be easily fooled if you didn't check!
The problem is compounded with unknown instrumentation: they may cheat where they display 0.0 when it's not actually (the internal reading might be + (or -!) 0.something), or when near other calibration points (like 100, 1000, etc.). (Dumb? Scary, even? You bet! But cheap weight scales have been caught doing this, rounding calibration weights towards the nearest exact reading. It wouldn't surprise me if an electronic meter might do the same.) The scales might not be linear, the calibration might vary with range/setting, etc. Cute, multi-function instruments like pictured, can be good to get a quick idea what something may be, but beware they can make incorrect determinations (e.g. resistor or inductor ambiguity; semiconductor identification ambiguity or error, especially if a component is faulty; etc.), and it should almost always be used as a hint, say for which instrument to reach for next and get a more accurate and representative measurement with.
That said: that it's measuring a very plausible figure, given the setup (0.22Ω resistor plus ∼0.1Ω leads), is at least very encouraging. Whether it really has 10mΩ resolution, or precision, I guess who knows, but 100mΩ at least seems plausible.
To really have confidence in it, you would have to calibrate at many more points, or cross-check with a better-calibrated meter (transfer calibration). Still more tests would be desirable, including a wide range of component types and values, to get a feel for how it decides what a component is or isn't (and what parameters affect that, e.g. test frequency, voltage or current, if selectable at all). There may, in fact, be an accurate and representative instrument in there; just knowing what's accurate about it -- and how to use it accurately -- is where work is required.
For a basic example, short the leads -- if it reads 0.0Ω, that's probably a bad sign (even good clip leads with connectors free of oxidation, should read some 10s of mΩ). If it increases smoothly as you add more resistance (including in similarly small increments), then it probably has the resolution, the accuracy -- if maybe not the precision. If the zero reading is reliable, then you can simply subtract it out of subsequent readings by eye.