Nested TAureliusDatasets - what happens when I cancel edits on master dataset ?

Yes, you have to use .Refreshing to make sure everything is updated, otherwise the data in manager cache will be kept. But note Refreshing also has limitations in lists:

In this specific case it's safer that you handle everything manually. The objects created and not persisted should also indeed be destroyed. You can use Manager.AddOwnership upon object creation to make sure the manager will destroy them eventually, even if they are not persisted.