It's not clear to me that it is useful to say that the deuteron doesn't
"contain" either a proton or a neutron, or that O_2 doesn't "contain"
oxygen atoms. For one thing, both of these compounds have binding energies
that are tiny compared to the rest energy. The binding energy of the
deuteron is 2 Mev out of 2000 Mev (0.1%) and the binding energy of O_2 is 5
eV out of 16e9 eV.
Note too that it is quite routine to use deuterium as a target when
studying scattering off neutrons, a pure neutron target being hard to come
by.
On the other hand, while I would say that a water molecule not only is made
of H, H, and O atoms but might as well be described as "containing" these
atoms, it's important to get across the idea that a water molecule doesn't
have the interesting properties of liquid water. I've heard the comment
that water molecules "aren't wet".