I've never seen 17hmr or 22mag snap caps, but I have bought and used 22Lr snap caps in my 17hmr and 17m2, they work fine as well as using spent brass just as LS308 has suggested. The problem with dry firing a rimfire is if the firing pin can hit the chamber lip, it can peen the chamber causing failure to ejects. It can also damage the firing pin. So, unless H&R specifically states it's ok, I wouldn't recommend doing it, specially when a spent case is all that it takes to allow it to be done safely. :wink:
Tim