@Andrea_paz
Andrea, the screencasts are your. ;-)

@Deim

So it seems nesting makes the clips (otherwise sequences or subprojects) not to leak to the rest of master project (ex. keys in filters). Am I correct?

Yes, you are correct.

Notice:
If you don't use Nest feature for the Sequences (subprojects) imported.
Your Master Project must have a number of tracks equal or more than the subprojects.
In my "cin20190831_NestingSequencesInAMasterProject" screencast, you can see that at the point #2, the second sub project (Sequence-02) contains 2 video tracks and 2 audio tracks.
So, in Master Project you must have at least 2 video tracks and 2audio tracks (in my example).
More, you can not load the Sequence (clip) from Resources->Clips to the Viewer, and from the Viewer to the Timeline otherwise you lose your Autos/Effects (may be a bug, I don't know). But You can do that with Nest feature.

Does the master project keep reference to subprojects or does it copy them fully to master project? (I'm asking when I change subproject if it somehow change master project).

When you import your Sequences (subprojects) into the Master Project, the Sequences are copied in the Master Project: the xml (file project) code of the Sequence is joined with the xml of the Master.
So, if you are working on a Master Project, where subprojects had been inserted, and then you change something to a subproject or delete a subproject, it doesn't change your Master Project: the Master Project is not in sync with the subprojects. That is good and bad.
I hope I explained it well.

Thanks!

IgorBeg