The Raw file can contain your choice of colour space in its metadata, but that does not affect the image data itself. It is raw data from the ADC (analog to digital converter) that is usually unprocessed, though Nikon cameras do some noise reduction, so an NEF file is not truly raw data from the ADC.
The Raw processing software converts the Raw file into a high-bit, large gamut colour space for internal processing. All colour managed space conversions require the source space (the native color profile of the camera in the case of a Raw file) and a destination space. Conversion between spaces goes via Lab colour. (The image data is also converted for display using a monitor profile no matter what colour space the image is in.)
The Raw file includes embedded metadata that acts as a set of instructions to the Raw conversion software. You can change those instructions by adjusting settings in the Raw converter, and your instructions are saved either in the metadata or in a linked xmp file. The original image data is not changed in a Raw file, only the instructions on how to handle it. When you export to another format (PSD, JPG, TIF etc) the image is converted from the internal colour space the conversion software uses, via Lab, to the chosen output colour space, such as sRGB or Adobe RGB or even one of the CMYK profiles if that is what is required.
I use a variety of colour management tools including ProfileMaker 5 for creating and editing device profiles (camera, monitor and printer) and CoCa for camera profiles. Both of these make ICC camera profiles, usable with Raw Developer, DxO Optics Pro and other Raw software but not Lightroom so I also use the X-Rite Passport system for Lightroom/ACR profiles though it is not as good as the PM5/CoCa - which may not be important to you. Chromix ColorThink is good for examining profiles and comparing them with the gamut actually used by a particular image. This, for example, is a diagram of the colours in an Adobe RGB landscape image (the dots) at a mid-range brightness compared to the printer profile, sRGB and Adobe RGB (the two similar shapes) all at the same brightness:
You can see that the printer has problems handling the saturated blues and purples in both sRGB and Adobe RGB, but that using Adobe RGB makes better use of the printers gamut in cyan/green/yellow.
Best,
Helen