I am no expert like many here, but I have seen sectioned rounds in a few ways;
Factory Made Demonstration / Teaching Aids
Those made by highly experienced & LICENSED professionals
Some collector made using 100% INERT and Safe components to start with
I am sure many will back me up when I say that this is not something the general collector or novice should tinker with and is better left to experts in the field. Besides the obvious dangers, some ammunition is made from dangerous metals and or chemicals that when vaporized or become airborne by cutting can be deadly in their own right.
You are correct that their are some spectacular cutaway specimens made by true artists in their field. I am always amazed by them and the skill used to create them. I am a novice myself but have learned so much from so many here.