If you are able to "flatten" the parallelism so that it is all exposed to a single parfor loop with enough iterations to keep all your workers busy, that will always be the most efficient. But that's not always possible.
The restriction on nested parfor loops is that you cannot nest a parfor loop directly inside another parfor loop. However, you can "hide" the inner parfor loop inside a function. Today, achieving nested parallelism is a bit tricky. One way to achieve that is to have each worker create its own parpool. Depending on the workload, you might be able to set your cluster to launch one multi-threaded worker per host on the cluster, and then use parpool("Threads") on the cluster workers to launch an inner thread-based pool.
