They pick up "automatically" because of how your DE sets up the relevant envvars for you, there is nothing in the protocol that actually tells the applications "hey, this monitor needs X% DPI scaling!".
The side effect of this deficiency in the protocol is very obvious, you can't mix DPIs, because the envvars or Xft.dpi are global and not per-application. Have you seen a blurry LoDPI X11 window sitting right beside a HiDPI X11 window? Or an X11 window changing its DPI dynamically as you move it across monitors with different DPIs?
The fact that SDL2 still doesn't support HiDPI on X11 when it already does on Macs, Windows, and Linux Wayland should tell you something.
Don't throw the "it works for me" excuse on me. Because I can throw it back on you too: "Wayland works on my machine". X11 is utterly broken, just admit it. You are welcome to develop another X11 if you want.