It should just work, but it seems to be buggy: we currently have a ticket open about incorrect refreshing behavior when data views are nested two deep. That ticket (16505) has been accepted.
Furthermore, if Mendix somehow renders something incorrectly, without the modeler telling you that it is not supported, then I would consider this a bug, because either of those options should happen. You should make a demo project and file a ticket.
It looks like this still does not work correctly in Mendix 6.7.0
We have a dataview -> dataview -> dataview.
This does not work correctly and the last dataview is empty on the page.
When we go Two levels deep everything is displayed correctly (dataview -> dataview).
Anyone here who has similar problems ?