Jim, Yes that it an example of a Locked Brummel Splice.
I didnt intentionally fray the end, thats a piece of Amsteel thats been floating around so its been handled quite a bit. Sometimes the end being frayed helps... sometimes making your cuts on a diagonal helps.
As for how much goes through.. Just enough to get a grip on. 1/16 of an inch if I had to guess. And yes, the end of the wire does grip the rope pretty well if you get enough rope in it. If it slips off, it will usually happen right or near the beginning of the splice so you simply pull it out and try again.
Sometimes tapering prior to bury will cause the strands to jam up if you dont insert enough rope into your splicing tool. (I refuse to call it a fid because its not!!)
With a straight fixed bury you need to stitch the bury to prevent it from being pulled out. With the locked brummel, some suggest stitching... But I havent had any issue with the bury pulling out so I dont. Thats the main differece, IMO. Strength wise they are about even.
And if you do stitch it... Cut yourself about a 12" piece of your hank and pull one of the strands out and use that as your thread...
When I was stitching, this is what I did with the tails of the thread after tying a knot in it...