Good question, and coincidentally one that I was asked yesterday by a colleague upon reading the article.
You are correct, nested transactions are not supported. This would be an interesting feature request for future versions althought I would fear that this would impact the inherent simplicity of the current behaviour.
Perhaps this could be handled via a new setting for TransactionOption, 'SupportedNested' or something similar.
Regards
Jamie Thomson
http://sqlblog.com/blogs/jamie_thomson