Thank you for your patience, all! I’m Elaine, PM for Confluence Cloud Ecosystem. I can confirm that nested bodied macros is not supported in the cloud Fabric editor. Some of them may work in the cloud TinyMCE legacy editor.
Please head over to my latest community post where I discuss our roadmap including more details on this particular topic. Confluence Cloud extensibility update - Feb 2021: A review and sneak peek into the future