Sub-collections can be created in Fez by moving existing collections, however once this is done the sub-collection no longer belongs to the community, which prevents moving records to the sub-collection. When a sub-collection is assigned to a community, the association between it and the parent collection is lost, thus turning it into a standard collection.
The only way to get around this seems to be to assign the target sub-collection to a community, assign records to it, and then move it back into the target collection.