I've used henna for several years, and I often leave it on my head for 8-10 hours. I've never noticed any urine color changes, but then I wasn't looking for it either. I'm going to have to pay attention to that next time. It wouldn't offput me though. Henna is a stain and our skin does absorb things, so it makes sense that henna does get into the body, just as other things do.
Another Jamila fan here...great dark reds from the Jamila.