How do we get nested event loops? Let's start with a main window and let it create a dialog. Something like this:

void MainWindow::some_menu_entry_triggered()
{
    QDialog dlg(this);
    ... // set up dialog
    dlg.exec(); // that's how I usually start a dialog (maybe check for returned value)
}

Now, I put in that first dialog a button, that when clicked opens a second dialog. And to keep everything clean, I hide the first dialog for as long as the second is open. So, within some_menu_entry_triggered() I might have something like this:

connect(dlg_button, &QPushButton::clicked, this,
        [&]()
        {
            QDialog dlg2(this);
            dlg.hide();
            dlg2.exec();
            dlg.show(); // nested event loop fail!
        });

The first dialog will never again show up. However, it is still modal and will block all interaction with the main window! And the problem is with nested event loops.

This problem arises with the following programming pattern (which I followed because it is used extensively in our software (maybe also because it was ported from wxWidgets at some point)):

if(dlg.exec() == QDialog::Accepted)
{
    // do stuff
}

For other reasons I already had to handle the click on the OK button differently by connecting to the QDialog::accepted signal. That is why if(dlg.exec() == QDialog::Accepted) already degenerated to just dlg.exec(). If you start fresh, you should always connect to QDialog::accepted.

dlg.exec() can be replaced by dlg.show() (and dlg.setModel(true) if that is what you really want). But, this introduces a separate problem: The lifetime of the dlg variable is too short. In general, I prefer to have my lifetimes automatically managed by putting variable on the stack. In this case we have to do this differently:

QDialog *dlg = new QDialog(this);
connect(dlg, &QDialog::finished, dlg, &QDialog::deleteLater);
// further dlg setup
dlg->show();

This is at least how I have solved the nested event loop problem (using show() instead of exec() for both dialogs).

So, here you have a real world example when nested event loops fail.