The .17 HMR wasn't designed for small game hunting. It was designed as an inexpensive small varmint round and is perfectly adequate for small varmints such as ground squirrels, crows, starlings, and the like out to 200 yards. If you can hit 'em the round will anchor 'em.
Quite honestly the .22 LR high velocity hollow-point round is too destructive for much small game hunting (squirrels and cottontails) until you get out to around 40 yards or thereabouts... and by then the accuracy has decreased to the point where hitting is problematic. I've body-shot grey squirrels with this round when I was younger and it tore them up. (Thanks to Don Lewis, and his article in Gun Digest on taking squirrels with head shots using .22 target rifles and match ammo back in the '70s, I was turned on to a whole new way of squirrel hunting (works on rabbits, too), and I have never looked back.)
The .17 HM2 is a better choice for small game hunting but be prepared to take head shots only or risk tearing up the small amount of meat on these critters.
And, yes, I am a big fan of the two .17 rimfires. They are great even for those of us who reload, who just want to be able to grab a box or two of ammo and spend the afternoon shooting small varmints without worrying about losing cases, etc.