The problem lies in the fact that, when you go directly to the URL, its trying to go to a page that doesn't exist (or in the case of a refresh,
no longer exists).
When you write a nested list, the framework takes all of the nested li elements and actually builds an entirely new page from them - hence the page transition effects and loss of headers/footers etc. Go to the root of that list and look at in in Inspector or Firebug - see all those divs that look a bit like this?:
- <div data-role="page" data-url="/demos/1.1.0/docs/lists/lists-nested.html&ui-page=0-7" data-theme="null" data-count-theme="c" tabindex="0" class="ui-page ui-body-null">
They contain the lists that are nested in the main content list. When you click on the parent of the list in your browser, you're actually taken to a brand spanking new and dedicated page, made just for that list.
This causes a few issues (like refreshing on one of these pages causing infinite loads or taking you back to the parent with weird artefacts or incorrectly overlaid back buttons). Its not an ideal implementation, and I really hope they're looking at it.