You are not wrong. That is by design. And for very good reason.
There have been discussions in the past on ideas to allow this in limited form - e.g. allow up to 5 nested Workflow Actions.
Without a limit, the obvious concern is that the nesting can go on indefinitely and its not considered an infinite loop. It would be something that is hard to detect and could cause havoc within the system if a rogue process was not caught early enough.
Then there are spidering concerns where an Action in a Workflow makes 2 changes, for example, and then each of those makes 2 changes. The growth of nested Actions becomes exponential.
So far, while nested Actions would have made things easier, I have been able to find alternative ways to handle my desired goals.