Thank you for the details @Technogeezer!
I could live with some bad performance (the performance of the Parallels hypervisor was indeed not the best as well, but at least it worked somehow), but the crashes and bluescreens are really a showstopper.
Actually I need the nested virtualization mainly for a dev environment for an Open Source project which also uses docker etc. which I don't want to have all on my normal MacOS. Probably I try it on a Linux or MacOS VM next, let's see how this works...