I love how HDVSplit automatically creates separate m2t files on separate scenes.

Avid doesn't do this.

But is there a downside to HDVSplit m2t versus using Avid to capture the m2t footage? I mean, is there better color depth or something (8 bit vs. 10 bit) when capturing using firewire into Avid or into HDVSplit?

Color depth won't change no matter what you capture to. HDVsplit might produce less stable files if your editor isn't crash resistant. First time I tried it on Vegas I got a crash trying to edit certain files, and it oddly crashes on the exact same files.