Why do propeller blades not have winglets?
Winglets on wings help because they increase the volume of air on which the wing can act. Extending the wing span would be much more efficient, but when span is restricted or the maximum wing bending moment is limited, winglets bring a small improvement in efficiency at high lift coefficients.
On propellers, however, the winglets would run through air which is already affected by the tips of the propeller. No additional air will be involved, so no efficiency increase will be possible. Please note that propulsive efficiency is increased by accelerating more air by a smaller amount. The formula for the propulsive efficiency $\eta_p$ of an air breathing engine is
$$\eta_p = \frac{v_{\infty}}{v_{\infty} + \frac{\Delta v}{2}}$$
where $v_{\infty}$ is the speed of the inflowing air and $\Delta v$ the speed increase of the air affected by the propeller disc. A smaller $\Delta v$ acting on a higher mass flow makes the engine more efficient. This effect is most pronounced when $v_{\infty}$ is low.
The prop tip winglets would operate in a region of high dynamic pressure and generate more friction drag without contributing to the prop's efficiency.
Things become different when the propeller blades have a very low aspect ratio and there is a hard restriction on propeller diameter: This is true for ships, where draught puts a hard limit on propeller size. Here a sort of winglet does indeed help: The Kappel propeller has its tip bent forward and increases efficiency by 3 - 6 percent. Given that marine propellers even for large ships have efficiencies between 50% and 60%, this is a noteworthy increase in efficiency.
By the way: Whoever tells you that winglets reduce induced drag quite a bit has something to sell to you, but I digress.