Going from shooting a 40gr slug at 1200 to shooting one at 1900fps is a significant increase. BUT...
Is it enough to justify the cost? The cost of a non-reloadable round? Even back some 30 years ago when ammo was "cheaper", the .22 Mag wasn't.
Actually, the .22 WMR seems cheaper today than it used to be. Take a quick look at online prices today. The cheapest .22WMR seem a between 2x and 3x the cost of cheapest .22LR.
I remember buying .22LR back then for less than $1 a box, and at that same time, .22WMR was $6 a box.
Even back then, it was a price vs. performance issue, and when you can shoot something else that provides even more than the .22wmr does, for the same or even LESS cost, the WMR doesn't have a lot going for it anymore.
How many situations are there where the .22LR isn't enough, and something more than the WMR is too much??? I can't think of any, really.
There really aren't and that's one of the reasons I don't have a .22 Mag rifle. I have single actions with the .22 Mag cylinder, a 1.5" NAA, 4" NAA, and 6.5" Heritage and it's nice to have the extra power for those guns if need be. Even then, the point of the NAA's is their small size/low weight and the Heritage is a 9 shot and 9 rds of .22 Mag is no slouch, but there are better options out there in centerfire.
The gap of where .22 LR isn't enough and anything over .22 Mag is too much is so small, it's not worth considering. My .327 Henry has the ability to shoot .32 Long at .22 power levels, .32 Mag at .22 Mag levels, and with .327 near that of .357 Mag levels.
You only get that kind of versatility in centerfire.
Most probably have a .357 rifle and they have the option of .38 Special, which while it won't have the range, it'll have similar power to the .22 Mag.
Stuff like the PMR30 is not reliable enough IMO with the long .22 Mag case and rimfire priming. I can accept at .22 handgun with an exposed hammer giving the ability of a second strike, but a striker .22 is no good for self defense IMO.
Even something like the CMR30... a 9mm carbine is still better and more powerful, not too mention be cheaper to shoot.