[Design]- Nested Components are not reflecting in XD design.

I agree with you. I'm using icons as a component (with few sizes variations) and using them inside other components. I put the icon inside another master component and override its color, for example. When creating a new instance of this component (that has the icon inside of it), the icon color is reset to its own master component's color, not the overriden color from the master component it's in.

Adobe XD is a couple years old now, and the amount of structural design and workflow features (and being able to combine and even nest them) is still relatively small. But I realised this is probably intentional, because XD is not aimed at production work, which would normally require lots of time-saving approaches and handy tricks to eventually speed-up any repetitive work. So it's not as complex as software like InDesign or Excel, in which you need all kinds of features to quickly and precisely build large volumes of structured content.

So i.m.h.o. Adobe XD prefers to spend their development resources more on quick and dirty approaches for all kinds of design matters, in stead of anticipating how to connect all the available nuts and bolts in a structural and reliable way. They rather leave it to users to figure out all possible workflows (and discover their flaws and bugs...)