.Because it's really nice to have more power than .22 LR, but still be able to eject the brass and walk away.
You can ALWAYS just eject the brass and walk away. It just depends on how much of your money you're ok with leaving on the ground as you walk away.
Back when reloadable brass was nickels and dimes, I picked them up. Now they are quarters, half-dollars, and in some calibers Dollars, or more! Still being on the stingy side of cheap, I want my money back, to the greatest extent practical.
Ok, first off, I have no experience with any of the .17s. I never saw any advantage to them that was useful to me. I know .22WMR, don't much care for it. I thought it was too expensive for what you got back when it was $6 for 50, and today its $12+ . I have a .22WMR cylinder for my Single Six. Almost never use it. 35+ years and I still have two partial boxes of ammo...
The .22 Hornet, on the other hand is more expensive currently about $18 for the cheapest stuff (at Midway) and jumping to nearly $40 for higher end stuff, and some at dang near $80 for 50 of the "premium" stuff.
Being a niche round, Hornet ammo has never been cheap, but it is reloadable. Its a finicky pain in the butt to reload, but you can do it. I do. The biggest benefit, besides the cost saving reusing that expensive brass, is that you can work up loads that match .22LR, or .22WMR levels or go all the way with full power Hornet loads. Reloaded Hornet is much cheaper than .22WMR.
You can also fit more .22 WMR in your pocket than .22 Hornet. For a 'walkabout' rifle, it's a consideration.
Really?? how much more? Not very much I'd think. Hornet rounds aren't THAT much fatter or longer than .22WMR.
I have two Hornets, a 10" Contender and a Ruger No.3. I'm not a high volume Hornet shooter, plus my single shots don't lend themselves to rapid fire very well..
I got 400 new brass at a gun show about a decade ago, and probably won't need any more the rest of my days.
I'd say find the GUN that suits you best, and then just deal with the cost of the ammo. If that's a .22WMR or a .17 something, fine. If its a Hornet, AND you're willing to spend the effort reloading for it, you'll have cheaper ammo in the long run, and be able to essentially duplicate .22WMR or even .22LR if you want.