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Cascading selects don't say anything about where the choices are stored -- when you use select_one with a choice_filter, you are using a cascading select with values stored internally to the form.
It's a work in progress. The more feedback and interest there is, the more likely it is to happen quickly. In particular, it would be very helpful if you could verify your data set with internal cascading selects and the devices you intend to use and report back on performance. If you share how many levels of cascading there are and how many choices are in each, we can verify that against performance improvements that will be coming out in the next Collect release. That may be sufficiently performant. Once there is an implementation that is sufficiently performant for tens of thousands of records, documentation will be updated.