Bob is correct, nested collections don't get saved, just articles in that collection you initiated the download from. Nesting in our system is pretty flexible and invoking a massive download could creates data and storage issues on the device that we want to avoid.
That said, some early thinking is going on about how we might address the exact use case you are concerned with, which isn't user triggered, but instead some automatic downloading and persisting of content in the project.
You could however create an "All" collection, put all the others inside and then the user can click the arrow in the top right corner of the browse-page to download all the collections. Since collections are referenced within other collections, this should do the trick, right?