The MSDN documentation seems to hint that Clone should perform a deep copy, but it is never explicitly stated:
The ICloneable interface contains one member, Clone, which is intended to support cloning beyond that supplied by MemberWiseClone… The MemberwiseClone method creates a shallow copy…
You can find my post helpful.
http://pragmaticcoding.com/index.php/cloning-objects-in-c/