However, it is more a "the File Manager can live with nested projects" than an intentional support. And you still cannot create nested projects within Live, because that is not what projects are meant to be:
Each Live Set should belong to exactly one Live Project, and if you have a Project within a Project, then it is never clear which one is THE Project of the Live Set.
This can lead to all kind of confusions, especially when sharing samples between Live Sets of different projects.
As I said before, if you want to manage multiple projects at once, you should use the "Manage all projects" feature of the Browser on the parent folder (NOT project, just folder) containing them, at least that's how the File Manager is meant to be used.
But certainly you are always welcome to abuse any feature as you like