I believe it will save any media that is specific to the project, but not to veg files added to the project. I'm guessing this is because the programmers felt this could get out of hand. You could have gigabytes of media nested 4 levels deep (as an extreme example) and not realize it and suddenly you have this long long saving process as it goes and retrieves everything.

However, I think most of us would like the option for it to do this. Perhaps another checkbox that says, "Save and trim nested veg media also."

Maybe we can get Sony to do this in the next minor version or hopefully in the next full version. After all, nested vegs is brand new, and once you get used to what it can and cannot do it's still a wonderful thing to have.