It isn't the round, but the firearm shooting it. The short barrels on the NAA mini-revolvers are just not long enough to get the .22 WMR up to sufficient speed to fragment or expand in most cases. If you were launching those same rounds out of a rifle or longer barreled pistol, 5-8 inches, they would do just fine.
So while 22 WMR is a fine round, it really shines from a rifle, and because of it's design (very long straight case) works best in a manually operated firearm such as a bolt or lever action rifle, rather then a semi automatic. (side note: my wife has a semiauto Keltec CMR-30 that is reliable if you are careful loading the magazines and lube the heck out of the rifle, that would probably work well in a home defense role with varmint rounds.)
The NAA's in 22 WMR are neat little guns, but are made as a back up or very deep concealment CCW piece. The intended way to use them is from very close range, possibly while wrestling with the scumbag, with all rounds fired going into the bad guy, they will not have enough energy to exit. The exotic rounds will not expand or fragment, but they will still do a lot of damage in that situation and will not exit the bad guy.
Trying to use one for home defense at greater distances (read outside arms length) will yield .22 LR velocities and similar penetration through drywall and into neighbors.