I don't believe in using ankle weights for moves that have you lying on your side, because they put pressure on the knee in a plane that is not it's normal plane of movement (side-to-side): I use a dumbbell held on the thighs above the knee for these types of moves.
But I do like to add weight to "donkey" type moves (on your hands and knees, and kicking back or pulsing up) because it hits the glutes well and the pressure is in the normal plane of movement of the knee (back and forward).
I just did this workout not too long ago, but I don't recall what standing work there is (I did the "thighs" workout in about the same time period and get those two mixed up). I wouldn't use the ankle weights for the standing work (are the forward and back kicks in this one or in the thighs workout?). It just seems like it's harder to control those movements. But I'm sometimes "super"cautious about potential knee and shoulder stressors (which has helped me avoid problems).
I've been using PHH more often recently, because I've been pressed for time. The workouts are short, but they are effective, IMO. I'm able to lift pretty heavy on the "Arms' (why call it that when it's a total upper-body workout? ) workout, and feel like I get a lot done in a short period of time. I love the way chest and back are alternated so a long rest period isn't necessary between sets (I wish Cathe would take a cue from Tony in this area).
I actually like Tony, too. Though I like him better in PHH after having done a P90X rotation with him. Don't know why?