In general there is no state inheritance between two different direct command lists. It is expected that the full set of states (PSO and non-PSO states) is recorded within a direct command list. There are some options to ease this a bit, initial PSO states can be specified with the pInitialState parameter at creation time (CreateCommandList), if non is specified a default PSO is used instead. All non-PSO states need to be recorded (RSSetViewports, IASet***Buffer, OMSetRenderTargets, ...).
With this in mind, you can try to adapt the way you record the command lists to it. If you split rendering of many objects (of the same render-pass) in different command lists you need to specify the render-states per command list, even though it might seem redundant. So your example from above would sadly not produce the intended behavior.
For bundles the set of rules are of course a bit different. For more info read Graphics pipeline state inheritance