Yeah … careful ordering of your project workflow is the best answer I currently have to managing that - especially once you start talking large format source (4k/8k), complex expensive codecs (H.265 / AV1), and some math heavy effects.
Proxies help by providing a lower resolution / lower complexity codec stand in for your original source material - either produced by your camera as many do these days, or transcoded by kdenlive - but they’re still just the raw source, there’s no pre-rendering of any timeline manipulations.
Preview renders let you ‘fix’ your current state and effects into a low resolution / low complexity temporary copy to allow realtime and faster playback - but on parts of the timeline that you’re still editing, you trade stuttering for a coffee break each time you make a change that requires re-rendering them.
So what I find works best is to do the entire track layout (all transitions etc.) on the proxies that my camera created, trying to avoid adding any effects at all at that stage of editing.
Then I’ll do another pass through the timeline adding any ‘functional’ effects to the clips where I want that (zoom, subject tracking, ‘special’ effects etc.).
After that, I’ll do another pass to colour grade them. Then one more once that’s all done to add subtitles.
At each stage realtime playback gets more expensive - but the need to have it to see whether what I’m doing looks like I want it to gets less too, as is the chance that I’ll see something which needs major re-editing.
Nested sequences indeed messes that plan up somewhat … and that’s where the changes to colour would be significant, if trying to grade a new sequence to match a preview rendered nested one …
I use a sequences a lot, but I haven’t often been nesting them yet to hit exactly what you’re seeing. My biggest project currently has ~800 clips on 11 sequences, and will likely have 4-6 more sequences, and proportionally more clips added to the bin before it’s actually All Completed - and the biggest performance hurdle that I’m hitting on that one right now is actually the UI becoming painfully slow to respond in the final stages of editing each sequence - there seems to be something ‘accidentally quadratic’ in the number of keyframes a sequence has …
One thing you could try if the kind of effects you’re using make that feasible is to simply disable all timeline effects while you’re working on the nested part of the current sequence - it’s a little bit fiddly, and that option is a little hidden, but Menu → Timeline → Disable Timeline Effects will let you toggle them as/when that’s needed, which might help until there’s other improvements with this.