Interesting problem. When I nest a veg into my main project I keep losing the audio once nested?
First time this happened I went back to the original nested file, and selected "rebuild offline nested audio" from the tools menu, and the audio appeared. Made some changes to the veg file later and oops the audio is gone again once loaded in the main veg.
Is there as trick I am missing here?

Ted

Edit: Using 9.0b