It wouldn't hurt anything to try heat treating 5-10 of them and see what your results are. I wouldn't be surprised if there were some alloying elements in the coated bullets, the question is whether or not the percentage of those elements is high enough to allow heat treating.
While I agree that likely most commercially hard cast bullets are chosen because harder must be better, I don't think that it is a trend that causes the higher prices. I think it's a combination of starting with a higher cost alloy and molds that don't have the same high production rate.
