I think that provided the scope is functioning properly, and your technique isn't lacking, the trigger is decent....out of the box, HMR is reliably more accurate than .22lr. Not to say that all HMRs are more accurate than all 22s, far from it. I simply think that the 17HMR ammo is very consistent, very fast, and I've never shot a rifle chambered in HMR that didn't shoot either the 17gr. V-Max, OR, 20gr. HPs exceptionally well. (=2 ammo options to sort out) In contrast, I've run more than 10 varieties of ammo through a 22 to figure-out what it likes best. Sometimes, none of them shot overly well, but mostly....you could narrow it down pretty quick. Also, as others have touched-on...this is all based on semi-decent bolt action guns.
Leaving ammo cost out of the equation for a moment, the next consideration has to be performance. HMR is notoriously hard on small critters, probably why it's so loved by gopher shooters.

If you're not shooting beyond 75 yards, I'd be inclined to steer you towards the 22 and research what ammo options are out there. Obviously, when you push the envelope on what you're shooting..and at what distance...shot placement becomes absolutely critical for an ethical kill. HMR gives you the edge on power and reach, but respect the abilities/limitations of .22, practice with it, and it will serve you well for small game out to 75 yards.
From a hunting perspective, I think I'm curious about whether or not you're considering .22WMR as well, but in terms of accuracy (in my experience)...it's probably comes 3rd on the list of accurate rimfire calibers. I've spent time with 2, 22WMR rifles, and ran 9 varieties of ammo through both off a solid bench. Keeping them inside the 1" ring @ 100 yards was nearly impossible. Average group was approx 1", with some a bit smaller...some out to 1.25" or even 1.5". However, what they lack in pinpoint accuracy they make-up for in punch. If you're toying with the idea of something the size of groundhogs/foxes...you want to be using a .22WMR.