Changing momentum of any kind requires work. Work is a force acting over a distance. While holding the weights at arms length and spinning will create a force (centripetal), there is no radial distance change incurred. Releasing the weights will reduce the force to zero, still no work done and no change in angular momentum.
If he was holding the weights at arms length while spinning and he pull his hands to his chest, there now exists both the centripetal force and a distance in the direction of that force (inward radial) this work will result in an increase in angular velocity as moment of inertia has decreased with the work done.
