Ah, excellent. I'm in no hurry, I doubt a beta of my project will be ready before the next Nuclex release anyway. :-)
I currently create all of my game-components (stuff that inherits from GameComponent, DrawableComponent, Component etc.) in my Game class.
Each game-state takes, through its constructor, all of the game-components it requires.
My Game class manages the which game-states are active etc. through a GameStateManager.
When a game-state is entered (inside the OnEntered() method), it calls Initialize on all of its game-components. This causes each component to set itself up, adding itself to Game.Components etc.
When the game-state is closed, it disposes/disables all of its game-components.
Is this an appropriate architecture to use with Nuclex?