Not sure how useful such deeply nested lambdas are but for what it is worth as far as I can tell this is a bug, the Visual Studio compiler limits document states (emphasis mine):
The C++ standard recommends limits for various language constructs. The following is a list of constructs where the Visual C++ compiler does not implement the recommended limits. The first number is the recommended limit and the second number is the limit implemented by Visual C++:
and includes the following bullet:
Nesting levels of compound statements, iteration control structures, and selection control structures [256] (256).
If we look at the grammar in the C++ draft standard compound-statement will eventually get back to primary-expression which includes lambda-expression. So Visual Studio should support up to 256
levels of nesting.
You could also see this by looking at the grammar for lambda-expression which is as follows:
lambda-introducer lambda-declaratoropt compound-statement
The draft standard has a set of recommend limits in Annex B but they are only guidelines and do not determine compliance.
Update
The bug report the OP filed was updated recently to indicate this will be fixed in a future release.