There should be no problem with using nested masterpages with Sitefinity, please do not hesitate to let us know if you observe any strange behavior with your specific use case scenario, so we can give you a better advice.
Do you want to have your say in the Sitefinity development roadmap? Do you want to know when a feature you requested is added or when a bug fixed? Explore the Telerik Public Issue Tracking
system and vote to affect the priority of the items