Please cancel this request. FYI for others nested groups in Azure does work for SSO. 

I was unable to do this. I completed the SAML setup and adding single users works fine. When adding groups the user authenticated ok but Connect wise Control showed them with no permissions. We have Azure AD P2. I opened a support chat and was advised this was not possible and was directed to request the feature. Any advice appreciated as we cant use the feature until the groups aspect works.