The Rekordbox way of using "nested" playlist is containing them into folders.
Playlists : can only contain tracks
Folders: can only contain folders or playlists (not tracks)
Now this might be a bit different from VDJ/Serato and is more closer to the iTunes model. But I think it's impossible for Pioneer DJ to change, because that would give up back-worth compatibility on (legacy) CDJ players.
