I think the question is about self-referencing entities. The export-mapping won't support this. For import mapping you could have used the json path module, but for export I think you will need to build the Json string yourself in a microflow? Which is less than ideal.
Yes, nested-object and nested-array are supported. See some how-to here: https://docs.mendix.com/refguide/consumed-rest-services.
I created a pull request for the documentation.