It’s kind of a confusing feature, and it might not help with the UI aspect of it, but I do have the and/or shelf filters on the shelf page that you could use to kind of do this now. If you put a game on a shelf called RPG, and a shelf called JRPG, you could do an “and” shelf filter with both of those to see what games are on both of the shelves.
I have definitely thought about doing sub shelves, but I’ve decided against it in the past because I try to favor simplicity over everything. I can’t think of a good UI for this that wouldn’t make it look confusing to people who don’t want to use the feature basically. I’m not against it if we can figure that out, but the and/or thing was built sort of for this reason.