Agreed completely. Yet another of the essential and fundamental features that existed on the old site, and has been removed for no reason. Nothing is gained by removing it. Nothing is improved. Only negative results, without a single positive.
You can remove nested quotes manually for the time being from what I can tell - quoting a post with a quote it in allows you to remove the inner quote manually using delete with the cursor in the right place, the hover-over options affect the entire thing in general only though, so using that will delete the quoted message you want to keep alongside the ones you want to remove.
That said, I know what you mean - I've seen a fair few excessive quote pyramids and that should be limited somehow so that they don't waste quite so much thread space unnecessarily.
I don't think there was a literal limit on the old site. mods maybe cracked down on using it excessively (and they still should), but there was never a point where an error message came up, or a button not working because of such circumstances.