When you edit a nested dynamic symbol (dynamic symbol inside a dynamic symbol) by double-clicking it in the Symbols Panel, it works properly. But when you edit the symbol by drilling down (double-clicking) on the symbol in the artboard, it overrides all color changes to all dynamic instances.
To reproduce:
SETUP
1. create an object with BLACK fill
2. make it a dynamic symbol (symbol #1)
3. change the dynamic symbol's color to BLUE (direct select, do not edit the original symbol, just apply a "color variation")
4. make that (symbol #1) into another dynamic symbol (symbol #2)
5. symbol #1 (BLACK) should now be inside symbol #2 (BLUE). You will see two symbols in the panel BLACK and BLUE.
WHAT WORKS
6. edit the shape (not the color) of symbol #1 by double-clicking it from the Symbols Panel
7. exit out of edit mode.
8. symbol #1 should still be BLACK, symbol #2 should still be BLUE
WHAT DOESN'T WORK
9. Double-click the symbol from the artboard to edit it.
10. you're now inside symbol #2, looking at symbol #1
11. double-click symbol #1 to edit it
12. change the shape (you don't even have to)
13. exit out of edit mode
14. symbol #1 should be BLACK, symbol #2 should also now be BLACK
I like opening a symbol from the artboard because it edits it in place and retains "Pixel Perfect" grid alignment. When you edit from the Symbols Panel, it just opens the symbol in a random place and is no longer aligned to the pixel grid.