It's been a while since I edited in Vegas, however I still love it, and I'm not a native english speaker, so I might misunderstand you, but... isn't that as easy as pulling a box around the sequence you're done editing with (or click the first scene, hold shift and click the last one) and than hit 'G' so they all group?1. Nesting -- It seems it might be easier to quickly group/nest various clips which are already cut together into a sequence, with or without their audio clips, into one single clip which will it easier and faster to edit said sequence as if it were a rendered sequence and then apply effects to the whole thing... I wish I could give a better explanation but so long as you guys understand the general area which I thin AVID might have an advantage over Vegas then you guys can confirm or otherwise... I might just not know the faster and better way in Vegas if there is an other than the one I know which is to drop a project file in the timeline... I never really tried to drop multiple project files on the same timeline but I think I was not allowed a while back when I tried to do so.
And as for applying effects, you could also apply it to the whole track.
And I actually find it a huge benefit that you don't have to render smaller pieces in Vegas! I don't have much experience in Avid, but have worked with FCP quite a bit and found it a hell that you have to render everytime you apply an effect. If it's only now and than, it's no problem, like commercials on TV... time to get coffee and go to the toilet, but you have to do it all the time :/