@prwillmot you didn't miss anything. At the moment (no concrete plans for very near future either) nested select is not supported.
The idea is that fundamentally Elasticsearch is not doing well in a purely relational DB kind of indices setup. When moving from RDBMS to ES there has to be a step in which the structure of the indices needs to be assessed and more or less the DB tables need to be denormalized. There are use cases where parent-child or nested documents are preferred, but still there is a need to investigate the setup.