(Me once again replying to myself - just to somewhat "close the issue")
The problem is actually in all versions of NHibernate: When you use a component containt a Nullable from the contributions, the "all values null leads to component is null" logic does not work. The reason is that (in 1.2 - but apparently also in earliert versions) ComponentType.Hydrate checks for 
Code:
val != null
 instead of the IMHO more correct 
Code:
!propertyTypes[i].IsDatabaseNull(value)
After looking into some more code, I'll try to open an issue.