I’m thinking to use nemo file manager instead of thunar that comes with xfce…
If I uninstall thunar completely and set nemo as default file manager… does it broke my system? 
Of course not, it’s Linux!
No, as far as I am aware there are no dependencies for Thunar. The only dependency is xfdesktop and that is part of the extra repo. You will probably have to remove xfdesktop as well. I use both on XFCE, and if you can’t uninstall Thunar you can set nemo as your default.
Just a tips:
pactree is a handy tool to determine dependencies and reverse dependencies of a package.
It can be useful in cases like this to see what is depending on a package you want to remove.
pactree X
to get a list of dependencies for package X
pactree -r X
to get a list of what packages has X as dependency, in other words, what packages are dependent on X
$ pactree -r thunar
thunar
├─thunar-archive-plugin
├─thunar-media-tags-plugin
├─thunar-shares-plugin
├─thunar-shares-plugin-git
├─thunar-volman
└─xfdesktop
pactree --helpand/orman pactree
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No, but Nemo will pull in Cinnamon desktop and a slew of other dependencies which you may or may not want.
Your Basic Research: https://archlinux.org/packages/community/x86_64/nemo/
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The dependencies are not as large as you think, (AFAIK around 10 MiB, depending on what you have installed) it is not like installing GDM and pulling some GNOME.
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No, it’s more like installing Nemo and getting Cinnamon. 
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You mean cinnamon-desktop (Library with common API for various Cinnamon modules) and not cinnamon (Linux desktop which provides advanced innovative features and a traditional user experience).
I do replace Nautilus with Nemo on my GNOME systems.
Never has it pulled in cinnamon, the whole DE, if that is what you mean.
No. That is not what I mean.