Yep, I'm experiencing the same thing. What version of Premiere are you in? I'm on CC2014, and though I haven't tested it on previous versions, I don't recall this previously being an issue. Perhaps it's a bug in 2014.
For what it's worth, if you open up the nest, you should notice that the audio is in fact nested (at least in mine it is). If that's the case, you can just right click the video portion of the nest, select "reveal in project" then drag it back into the timeline, overwriting with the completed audio and video nest, and you can just leave or delete the extra audio.