I dont think the Matrix within a Matrix thing is true. I just think they have been tricked into thinking they left the matrix when in reality they have not. If you notice when the Nebakanezza is docked in xion, neo is walking away from the camera. the camera focuses on the back of his head/neck and there is no plug in his neck. at first i thought this was a major glitch in the movie but thought about it and now i think it was intentional. the only thing that throws that off is that in the sec scene the plugs are there. i dont know what to think