Played with it a bit more.
For whatever reason, I can get External Program entries to nest using any of the standard Audio, Video, or Images top level Media Views, but I cannot nest it into my own custom Top Level View.
So, I wanted to make a top-level item called "Configuration" that included this option, and one or two other items that called scripts. But I can't do that. If I want to nest an External Program item under one of the existing Top-Level views (audio, video, or images) I can do that. However, I can't then nest them "down further" in the hierarchy there either. I can put them in the Secondary Roller in Audio, for example, but not into another "tier" deep.
Also, the Move Up/Down and the Nest/Unnest button highlights seem to be wonky. Sometimes Up/Down appear grayed out until I mouseover when they shouldn't be, and the Nest/Unnest highlight logic gets all confused sometimes, and shows both enabled when neither work, or shows none enabled when one or the other works fine.