I have a saved search that sends an email when a custom record is created but it is not sending when that custom record is created via a sublist on the sales order. Is this not possible?

I'm not certain about this. I think you may have hit a limitation. You could consider a scheduled email that looks back to see if any of these custom records were created in the past 30 minutes.

Thanks. Just spoke to NS support and that is what they confirmed.

Maybe move the email functionality to a Workflow and have the Workflow work include the Script context.