You cannot get all components automatically updating. That would mean live external reference system in SU which does not exist. The closest is TIG's MatrixProximity plugin.
http://forums.sketchucation.com/viewtopic.php?t=7612
Saving a component within a component will not cause any tragic events but you will have a useless, additional wrapper around the component. Now this wrapper may lack some features like gluing and cutting hole in a wall (like a window) so best is to avoid this.
Normally I do not even load anything straight into SU without having a look how it's made.
As for my archaeological work π
I am actually freelancing now and only do stuff that I like (so no boss in that field).