I think CSLA handles both of these cases fine (and in fact is really designed to do exactly this).
Returning all the collections with a single database call is something of an implementation detail -- I can think of two ways, with the obvious mechanism being a stored procedure. (The less obvious way is what NHibernate does, populate root and child collection with a creative left join query).
Even if you don't populate the object in one database call, you can certainly do it in one round trip to the application server when you deploy in 3 or more tiers. You can make one call to the app server, make several database calls there, and then return the composite object. Lazy loading of the child objects and collections is another technique -- e.g. defer fetching until the first reference of the corresponding property. If you don't use the property, then the data is never fetched.
Also, yes the databinding will update your properly bound object as changes are made, including child row deletions/additions. CSLA's undo support will also let you roll back such changes multiple levels. The row deletions/additions aren't persisted until you actually save the object.