May be better to have the shank yield rather than shatter, if only from a safety point of view.
IIRC, "genuine" Allen keys are claimed to twist in plastic deformation at least 1/2 a turn before the finally snap. There is also the possibility of stopping before snapping once you've spotted that the thing has gone plastic.Requires good control of the tempering process of course.
In the case of drills, you need most of the spirals to be hardened so you can resharpen them. Some of these cheese drills appear to be somewhat less than ideally hardened and tempered. They have the snazzy coating but beauty appears to be skin deep here. Where did you get them, Nick_G?