Nested location blocks?

[Rt Ibmer]

A few days ago someone mentioned here that nested location directives/blocks are supported, but are undocumented because there are some issues with it or it doesn't work as expected in all cases, or something like that. 

Anyway I was hoping to get more information as to what exactly the concern/issues are so I can decide if that's something that would still work for me. Can someone please elaborate? Thanks!