Good question and interesting comparison. At one time, I also gave the .22 mag some thought. I bought the Hornet instead. The Hornet is a classic cartridge which came along about 1928, 29, or thereabout. It is very close ballistically to the .218 Bee - another classic round. For a centerfire cartridge, the Hornet has a mild report, no recoil to speak of, and a joy to shoot. The other posts are pretty darn accurate about reloading compared to factory ammo. Hornet factory ballistics are around 2650 fps. Ft. lbs. triple the .22 mag.
Most that shoot the Hornet do so for its personality, nostalgia, and because there are some great classic rifles which shoot the round, not to mention it's an excellent varmint round when not extended beyond its capabilities. The cartridge has an almost cult following and many do not care about the cost of ammunition to shoot it. Hopefully it will continue to be around for years to come.
Good shooting.
John (Rojo)