How bad is it in practice to over-nest selectors in SASS/SCSS?

I have a .scss file that, among other things contains this:

nav {
  font-size: 0;
  ul {
    margin: $padding/3;
  }
  li {
    z-index: 10;
    position: relative;
    display: inline-block;
    font-size: $fontSize;
    /**
     * If we want separated, Uncomment!

    margin: $padding/3;
    @include border-radius(5px);

    */
    &:first-child {
      @include border-radius(0 5px 5px 0);
    }
    &:last-child {
      @include border-radius(5px 0 0 5px);
    }
    padding: $padding/3 0;
    @include background(linear-gradient(lighten($textColor, 10%), $textColor));
    border: 1px solid lighten($textColor, 20%);
    a {
      color: $brightColor;
      padding: $padding/3 $padding;
      font-weight: bold;
      text-decoration: none;
      @include transition(.2s all);

    }
    //Nested menues
    ul {
      opacity: 0;
      //display: none;
      position: absolute;
      margin: 0;
      top: 0;
      left: 0;
      right: 0;
      z-index: 5;
      pointer-events: none;
      @include transition(.2s all);
      li {
        @include background(linear-gradient(darken($brightColor, 10%), darken($brightColor, 30%)));
        display: block;
        border: 1px solid lighten($textColor, 20%);
        &:first-child {
          @include border-radius(0);
        }
        &:last-child {
          @include border-radius(0 0 5px 5px);
        }
        a {
          color: $textColor;
        }
      }
    }
    &:hover ul {
      pointer-events: all;
      top: 100%;
      opacity: 1;
      //display: block;
    }
  }
}

How bad/harmful it is in practice? I've heard many talks about "Don't go over 3 nested selectors!" But how harmful is it really? Does it have any visible impact on page loads? The benchmarks I've done say no, but is there anything I'm missing?