Can holders of Shards give them up voluntarily? I think this is what we see in a certain long novella, but can any vessel do this? If they do, will the power splinter quickly after they release it?
Yes, a vessel for a Shard of Adonalsium can give up their power if they wish.
As for what would happen…well, there are some variables in there. Kind of like the variables in what happens to a bucket of water if you dump it out. Depends on where it falls, how strong the wind is, what the air is like.
Power dropped like this, if left alone, could end up splintering and turning into something like spren/seons. It could become something more like the Stormfather–a large, self-aware entity. It could become something like the Dor or many of the Unmade–something proto-aware, but not truly an individual. There are other possibilities as well, depending on lots of factors. (Are sapient beings involved? What is being done with the power–is it concentrated in the Spiritual Realm as normal, or is being pushed somewhere else?)