If they get warmed up too much or for too long, gasses can expand in the belly. Also, if they've been frozen for too long, or repeatedly thawed and frozen, it can weaken the belly wall so that it will be prone to "exploding" even when properly thawed.

I'd say it really doesn't matter if you let the snake eat it or not...whatever makes you feel most comfortable. The one "explosion" I had, there was no way the snake was going to give that rat back to me, even if I'd wanted to take it.