Once I openly called AC reservations to book two 'nested' tickets simultaneously. the clerk referred me to a supervisor, who cleared the tickets. When I went to the airport check-in counter to purchase them, a very frowning and unhappy clerk issued the tickets, saying they should not have been issued. However, she took my money and printed the tickets. In using them, I had absolutely no problems.
My sense here is that if you are using nested tickets, discretion is the best policy but the chance of getting 'caught' is slim. The biggest problems could occur if you try to change/cancel the tickets, and then the most likely 'serious' penalty is being required to pay the appropriate (sometimes very high) fare difference. I've never heard of the police being called for this 'offence' (or the other 'crimes' like throwaway or hidden city ticketing).