I remember in the dark ages of hunter safety classes they did a demonstration...they had rigged up a contraption to hold the rim of a shotshell with a "firing pin" that could be pulled back and released...there was nothing covering the shotshell. They took someone's hat, and put the shotshell, held by this contraption, into the hat and fired it. The shot just fell into the hat. The point was that without anything to, for lack of a better word 'focus' the pressures of the burning powder, there really wasn't much danger...RELATIVELY SPEAKING...of the round cooking off. But if someone were to wrap their hand around the shell when it was cooked off, which would provide immediate resistance to the rapidly expanding gasses...bye bye hand, and the shot would have moved forward with a little more authority. Kinda the same principle as lighting off a fire cracker in the open palm of your hand, then lighting off an identical firecracker and closing your hand...or making a shaped explosive charge.
I saw this same type of "experiement" done with a centerfire cartridge, and what seemed to happen was that the case expanded to the point that the crimp opened up enough so as to allow the burning gasses to escape through the opening created on one side of the crimp. The same thing happend when a loaded cartridge was esposed to heat. The bullet basically stayed in place, the crimp blew on one side, and the gasses escaped through that opening. The primer did pop and dislodge to a degree, and I think that some gasses probably escaped via that route as well.
I'm certinally not suggesting that anyone do this, as these "experiements" were done under relatively controled conditions...but it was still not a completely smart thing to do. Nor am I suggesting that this is how all loaded cartridges will react under similar circumstances. I'm just saying that this is what I've seen happen. Loaded cartridges are, as far as I've seen, not mini-grenades...but I still wouldn't want to be exposed to one cooking off in close quarters.