100% they do.
One time years ago, a crow flew by the window and startled Duckie. I asked her, "You scared?", and she IMMEDIATELY repeated it back to me for the first time ever and said "Scared, scared."
Now, when theres a strange noise in the house, or something outside, she says "M scared, m scared!" (The "m" sounds sort of like she's trying to say "I'm". Don't know where she got that, that may just be a coincidence)
Just yesterday there was a repair man in the house, so I put Duckie in her cage. She saw him, and hung from the side saying "M scared, m scared!" Only at times when she's truly scared does she say it, and for sure knows what it means.