It is actually fairly complex. (Nano-)encapsulation has been under research for a very long time and the literature has expanded in several bursts. However, the response of the immune system to these complexes is not as well researched. I should also expand a bit and not limit the issue to antigenicity. Especially when it comes to nanomaterials we also have to look broader and include all cellular and humoral immune responses (i.e. immunogenicity). For example, the mentioned liposomes alone generally only elicit weak to no immunogenic responses. Yet certain formulations and depending on what they contain as load, various groups actually identified liposome-specific antibodies. Or take PEG, which is often used as a hydrophilic coating and to prevent immune recognition. However, in some studies it was found that repeated treatment with PEGylated products resulted in faster clearance from blood, suggesting eventual recognition.
The tricky bit is that to identify immunogenicty it is often not enough to just inject and look for antibodies. Often many parameters have to be considered, such as the animal type, dosage, number of treatments, interval of treatment, the specific composition of carrier and cargo and so on.