Prevailing wisdom was that you didn't want to go any deeper than 3 or 4 levels deep. I don't know if that's because the map files were being parsed from the file system only when they were needed or if it was truly that complicated to get a bubble-up status on the nodes. Since 9.5 the map data is in the database, so I'm more comfortable with 4-5 layers provided you're not having any resource issues. Of course, I haven't seen enough customers on 9.5 yet with deep map structures to give you a good benchmark.
You may go as deep as you want, but the performance may be lower. 4-5 layers sounds reasonable.