High voltage step up power module
Since these devices seem to be popular on Ebay and other shops, I believe that some persons may be interested to find the answer to my questions above and some other informations:

First the answer to my questions:


No, these devices are not suitable to be connected a long time: they need to be discharged in some load, and even so, they cannot resist a long time. In fact, they are at best suitable to realize some sparking experiences. I bought two such items of different kind, a small one that ridiculously claimed 400kV voltage (the one in the image above), and a second one, bigger, with voltage tuning, that claimed 12000V. The small one burnt after some 50 tries of less than 1min, mostly 10-20s each. The bigger one burnt even faster. These device MUST discharge into some load otherwise they burn quickly.
Apparently, the chirping is due to small sparks caused by some current flowing between the terminals and the rest of the world (not between them).


I've pulverised the two items to see how they are made; here are the pictures of what I found inside (small item in first position). 




Even so, I found these (very cheap) items useful for a first contact with high voltage and high impedance (they are probably less lethal than more serious devices). I've learnt a lot from experiences performed with them and from my tries to measure their output voltage (unfortunately, they burnt just before I was able to perform the measurements). Also, I've learnt some artefacts that you'll never see in low voltage: for example, I discovered that a 30cm piece of dry sandwich wood conducts current sufficiently well to feel a very disagreeable sensation.