Split cases, never seen one. Must be from a dodgy chambering or a specific ammo (thanks to Turnips for flagging it is Winchester rounds that split).
Shot 600 rounds in the past 2 months alone from my Weirauch 0.17 HMR, no split cases, running Hornady Vmax red tips and CCI 17 grain grey tips (alas, local RFD does not stock 20 grain).
Noise: varies, usually just a crack like a whip cracking, but sometimes a definite bang that one could mistake for a moderated 5.56. I have an unbranded German moderator fitted. While a 0.22LR is far quieter, HMR noise is not really intrusive, it does not attract attention or complaints even when shooting close to public areas.
The beauty of HMR is the flat shooting, so no mucking about getting the range spot on when one is trying to hit the neck of a squirrel at anywhere from 20 to 120 yards - zeroed at 30m, it is an inch high at 60m, spot on at 100m.
Another massive benefit of HMR over 22LR is no ricochet: so much energy in a small bullet it disintegrates instantly on impact with anything hard.
Finally, HMR is really accurate, as in sub MOA at 100 yards so long as it is no wind conditions. However even with that, I stopped doing head shots because hitting just front of the eyes in a side shot leaves the animal injured but alive, compared to a neck or chest shot which kills instantly and allows one to be ½" out, or even an inch out, without leaving a wounded animal to find. The HMR dumps a lot more energy than a 22LR so there are no run-ons: imagine a tomato sized volume of mince.
Overall, far, far prefer HMR over 22LR. If you get a HMR, you will not regret it.