I have lazy set and when trying to add new item to that set nhibernate loads all the other, previously saved items. The question1 is: is that ok? question2: how to prevent such a behavior?

Yes, it's ok, because it needs to check whether the item is already in the set.
To prevent it, use a bag, it will allow duplicates.

Thanx. It's now clear for me. But... Are there any other ways to control PK constraints instead of loading all the records? Eg simply querying COUNT FROM set WHERE id=fresh_added_item_id... I think is it good enough to do so in means of "transparent add to lazy set". Im I right?

If you want to add a child to a collection without using the collection (hence loading it), you can save the child after setting its parent.

Could it be possible if parent not null?

sorry. i've got it