Sometimes they will split open on their own, sometimes they won't. I assume that ideally the seeds should be black or dark brown and quite hard, but not necessarily dry. But the real bad news is actually that you can plant a viable peony seed and wait five or ten years for it decide to sprout. LOL. If it ever does. I pretty much gave up waiting on tree peony seeds I had planted just as directed, in a pot sunk in the ground to keep track of where they were. I dug the pot up, dumped it out, couldn't find the seed or anything that looked like a seed anymore, and went on with life. A couple years later...peony sprout where I dumped the pot out. I had waited three years before dumping
I don't fuss with them anymore. If I see what looks like a ripe seed, I'll poke it in the ground near the parent plant and forget it. I've got a tree peony seedling from either a seed I poked in the ground or one that just dropped there from the plant.
Worse news yet. It can take years for a peony to reach flowering stage from a seed, even after it sprouted successfully. It might be the same as the parent plant it came from, in which case you have wasted five or ten years when you could have divided the root and got several plants. Or it could be something entirely different, but not attractive (can't believe I just said that a peony might turn out not attractive.) But raising peony from seed is a slow process. Which makes one appreciate the work that has gone in to developing different shades and patterns and petal arrangements.
Tree peony seeds are said to tend to sprout faster, more reliably and mature to flowering faster than herbaceous peonies.
The good news is that a peony plant, once it gets going, is likely to outlive you by a hundred years without ever having any care again.

.