Yes, the 900 does a wonderful job of nesting macros. There is a trick however if you want to nest a macro on a WATCH or LISTEN page.

Say you have an ALL OFF macro on WATCH, page1 and want to nest it on the LISTEN page1:

Make a button (not a device) that says ALL OFF on the LISTEN page1. Click on the new ALL OFF button, click the macro record button. Navigate to the WATCH page with your real ALL OFF macro. Hold SHIFT while you click the ALL OFF macro and you will see that WATCH>ALL OFF shows up as a step in the macro on the LISTEN>ALL OFF button.

Hope this helps. If your macros are inside other devices just navigate to them and click on them as you would while creating any other macro.

If you have any questions while you're working on this just post them.