Of course it works. If you threaten someone with jail when they do X, then they are less likely to do X.
To take one example, several states have recently threatened doctors with jail if they perform abortions. As a result, obstetricians are now fleeing those states to avoid being prosecuted for performing their normal medical duties. If jail had no deterrent effect, then obstetricians would stay put and keep doing what they’ve always been doing, including performing safe abortions.
To take another example, several state have recently decriminalized marijuana, thus reduces the risk of jail for sale and possession. As a result, marijuana is more commonly consumed in public and far more commonly sold in public. If jail had no deterrent effect, there would be no change in the number of businesses selling marijuana.