Since you're already passing in a string list of values, and adding them to a dynamic (string) command, why bother splitting them?

DECLARE @sql as varchar(5000) = '

SELECT E.LastName + '', '' + E.FirstName AS Name, SM.MetricText, PRR.Rating

FROM

Employee E,

SkillsMetric SM,

PerformaceReviewHistory PRH,

PerformanceReviewRating PRR

WHERE

E.ID IN (' + @pEmployeeIds + ') AND

E.ID = PRH.EmployeeID AND

SM.ID = PRR.SkillsMetricID AND

PRH.ID = PRR.PerformanceID '