I have a form that combines two entities (User and Profile).
Validation seems to work on the first part of the form that comes form the User Entity and is the basis
According to form type documentation you can also use Valid constraint instead of cascade_validation option.
$builder->add('children', 'collection', array(
'type' => new ChildType(),
'constraints' => array(new Valid()),
));
Example from the owner entity:
/**
* @var Collection
*
* @ORM\OneToMany(targetEntity="Child", ...)
* @Assert\Valid()
*/
private $children