When I nudged these notes over, they deleted the ones below them when their times coincided. (Look bottom left)

 
I checked, and my record setting is on 'Sound on Sound'. If it was on Overwrite, I could understand this. Also, the behaviour doesn't occur if I drag the notes with the mouse - only when I use the nudge key.
 
Anyone seen this? Is it a bug or expected behaviour?

Does it only happen in Take lanes? If so, it's the same as this one (confirmed by CW):
http://forum.cakewalk.com/Nudging-note-events-in-take-lanes-doesnt-work-properly-Confirmed-by-CW-m3023030.aspx
 

Ah, that sounds exactly like my problem. No doubt this is some area where they thought that you'd want to treat it as if you were comping, but it screws up your workflow for simple MIDI edits. And it's not even fixed in the new version. Sad.