I'll try to be more helpful than Jamie.
Anything outside of the house should be covered by the cable company. Therefore, if the splitter outside does rust, the cable company should replace it for free. Unless, of course, you or the previous owner of the house tampered with the splitter outside already. Then the cable company is not responsible. As you said, if it is working fine now, I wouldn't mess with anything.
If you want to spend the money, you can have a cable technician come out and drill a new jack solely for the cable modem. Then you won't have to mess with splitters. That is, if you are positive the splitters are ruining your cable modem connection.
Thanks for the info Wizard.
Since everything is working great, I'll cover it myself.
I already have a plastic cord cover (meant to keep audio cables from looking unsightly) that I got as a gift years ago.
It is a tube with a slice going all the way through that allows you to "wrap" it around cords.
I will cover the point where the coaxial cables meet (where the metal ends are located) and just use plastic ties I bought at Home Depot to keep it from slipping or coming off.
The technician didn't do his job then because I specifically asked him about them getting wet and covering it (or he didn't fully understand, which I doubt). He said it was normal.
To answer your questions, no, I didn't do anything with them, and I don't think the previous owner did either.