The first entry is the post with the content and the next ones are the comments (all). Of course there is no nesting structure in the RSS, you need to go to reddit for that.
EDIT: There most probably be a limit in the number of elements of a feed, so if you try that with a post that already has a lot of comments, you will probably see only the last N ones. But if you add the RSS Feed of the comments of new post to your RSS Reader, it will most probably store all the elements over time, so you will have all of them there (and not only the last N ones)… unless the comments are posted too fast and/or the updating frequency of your RSS Reader is too slow.