It seems this is not possible at the moment as you said. I could find a improvement request for showing nested groups which seems similar to the functionality you'd like here: https://jira.atlassian.com/browse/CONF-30285
I recommend to vote, watch and ask other users to vote on it as well in order to increase the chances of being implemented in a newer version of confluence.
For more details on improvement requests and bug for this macro, you can check here. Unfortunately I couldn't find an workaround in my search. I believe the best is to wait for the new feature to be implemented.
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