They technically mean the same thing (and both are grammatically correct).
There is a difference, but it is subtle. It's more clear in spoken English, or at least easier if you add an emphasis where necessary (which I have done below).
Plain and simple, the thing works; no implications here.
It actually works.
Think of it more as "You would think it wouldn't work, but it works." Perhaps other products in the same category don't work, and this dispels any disbelief in the product's ability to work.
Alan: This application does not work!
Bob: It actually does work, but you need the latest JVM installed.
Even more emphasis on the fact that you think it wouldn't work, but it does.
And if you want to add even more emphasis (but is on the brink of grammatically incorrect, and overuse of this might lead people to stop taking you seriously):
It really does actually work.