The morph cut effect is preventing nesting of clips in Premier Pro CC 2017 (11.1.1). This did not seem to be an issue on previous version of Premier.
If I have a morph cut effect in a series of clips and I select them and try to nest them, it will bring up the box where I can name the nest. I usually don't name it so it will be called "Nested Sequence xx" (xx is the next number in the sequence of nests. Then I hit "Ok" and it does no give an error. However, the series is not nested. And Nested Sequence xx is not in the Project List.
I found out it was the morph cut effect that was stopping it by removing the effect and tying to nest it again, and it worked. I have seen this issue in several projects with different video clips.