I'm afraid the [Project] field used in the grouping will not recognize any subprojects as separate from the project. The best I can suggest (other than being very careful about multiple layers of subprojects) is to manually code the sub-subproject tasks in some manner and apply the third level group to pick up those codes.

May I ask why you have some a complex structure? My concern is the possibility for corruption in the files unless this is very stringently monitored and controlled.