We do have a limit for maximum quote levels. I think it's 2 levels deep? You should've seen some of the insanity before they were set!
One problem is that even with the limit set, it only applies to auto-quotes.
Maximum Nested Quote Tags
The maximum depth level for quote tags. When quote-replying to a post, all nested quotes which exceed this threshold are automatically removed. Note that this value is only enforced when quote-replying - it is still possible to manually enter quotes to exceed this limit, and this setting will not affect posts already submitted. Set to 0 to disable the limit.
One problem is that even with the limit set, it only applies to auto-quotes.
Maximum Nested Quote Tags
The maximum depth level for quote tags. When quote-replying to a post, all nested quotes which exceed this threshold are automatically removed. Note that this value is only enforced when quote-replying - it is still possible to manually enter quotes to exceed this limit, and this setting will not affect posts already submitted. Set to 0 to disable the limit.