My understanding is that yes they still need the keepass database open, which requires the master password.
So in order for this 'hack' to have any effect you would need to leave it open and have your machine hacked in the first place.
It uses simple dll injection, which is a process in windows where you get a running program to load your dll. Then the dll code essentially runs in the process space.
This is similar to hooking up a debugger to the process and then inspecting the memory or causing one of methods to run.
So there is nothing to see here. They just made something you could do already on a compromised machine, easier.
I believe there are things you can do to make code resistant to dll injection. But I'm not sure you can fully protect against it. It is built-in to the windows framework.