Yes, I fully agree! Three category levels would suit our needs much better then two, but three levels are not officially supported - see Sub-sub-categories - #13 by awesomerobot - support - Discourse Meta
This statement is from 06.01.2021 - maybe this has changed in the meantime, but there are also issue reports about this feature in the mentioned topic.
I think, detailed testing is needed, bevor it can be used. Maybe, it’s possible with the migration test instance. 🚧 Forum migration test instance (forum/fluxBB > community/Discourse)