A nested shortcut is simply a shortcut file that is located in a shortcut sub-folder - i.e., a shortcut file in a folder that is located or "nested" in another folder.
You can easily create nested shortcuts with Setup Factory 6.0 by using a Create Shortcut action. Simply include the nested folders in the path that you provide in the Folder field on the Action Properties dialog for the Create Shortcut action.
(In other words, just enter the full path to where you want the shortcut file to end up, and if any of the folders in the path don't exist, Setup Factory will automatically create them for you.)