When you use the term "cloning", do you mean time aware modelling - i.e., Clone Structure as New Version?
If you do, it only clones the package (and diagrams within the package). It does not clone the elements, with the current functionality elements and relationships can only be cloned, AFIK, by opening a diagram and cloning elements individually or in bulk (by selecting them all).
If you clone 2 elements in a diagram with 10 elements, Sparx EA will only clone relationships between those 2 elements, if there are any. I am not sure what Sparx EA does with any relationships to non-cloned elements and what happens with relationships to non-cloned elements, if a user chooses to clone them later.
If all elements in a diagram are cloned, I would expect Sparx EA to also clone all the relationships. But the example in your OP is nesting and it depends how nesting is represented.
In short, if you have all elements in your original diagram, they are visually nested, select them all and clone them as a new version then I would expect Sparx EA to clone any relationships between the elements.
I agree with your comment about having a "Clone Full Structure for Duplication" option.