I found the solution on my own. I used a small work-around of all this nested PreferenceScreen's. I simply made a separation to different xml-preference files, created an additional Fragment which extends PreferenceFragment and there I show an appropriate nested preference screen.
Maybe somebody would found this useful.  
Github sources link.
Some code examples below:
main_preferences.xml
<?xml version="1.0" encoding="utf-8"?>
<PreferenceScreen xmlns:android="http://schemas.android.com/apk/res/android" >
    <PreferenceCategory android:title="Main category" >
        <EditTextPreference
            android:defaultValue="defaultValue"
            android:key="key_global_setting"
            android:title="Global title" />
    </PreferenceCategory>
    <PreferenceCategory android:title="Nested screens" >
        <Preference
            android:key="NESTED_KEY1"
            android:persistent="false"
            android:title="Nested screen #1" />
        <Preference
            android:key="NESTED_KEY2"
            android:persistent="false"
            android:title="Nested screen #2" />
    </PreferenceCategory>
</PreferenceScreen> 
nested_screen1_preferences.xml
<?xml version="1.0" encoding="utf-8"?>
<PreferenceScreen xmlns:android="http://schemas.android.com/apk/res/android"
    android:title="Nested screen #1" >
    <CheckBoxPreference
        android:defaultValue="false"
        android:key="nested_screen_1_1"
        android:title="Nested screen 1.1 check box" />
    <CheckBoxPreference
        android:defaultValue="true"
        android:key="nested_screen_1_2"
        android:title="Nested screen 1.2 check box" />
</PreferenceScreen>
nested_screen2_preferences.xml
<?xml version="1.0" encoding="utf-8"?>
<PreferenceScreen xmlns:android="http://schemas.android.com/apk/res/android"
    android:title="Nested screen #2">
    <CheckBoxPreference
        android:defaultValue="true"
        android:key="nested_screen2"
        android:title="Nested screen 2 check box" />
</PreferenceScreen>
SettingsActivity.java
public class SettingsActivity extends ActionBarActivity implements MyPreferenceFragment.Callback {
    private static final String TAG_NESTED = "TAG_NESTED";
    @Override
    protected void onCreate(Bundle savedInstanceState) {
        super.onCreate(savedInstanceState);
        setContentView(R.layout.activity_settings);
        Toolbar toolbar = (Toolbar) findViewById(R.id.toolbar);
        if (toolbar != null) {
            setSupportActionBar(toolbar);
            getSupportActionBar().setDisplayHomeAsUpEnabled(true);
        }
        if (savedInstanceState == null) {
            getFragmentManager().beginTransaction()
                    .add(R.id.contentSettings, new MyPreferenceFragment())
                    .commit();
        }
    }
    @Override
    public void onBackPressed() {
        // this if statement is necessary to navigate through nested and main fragments
        if (getFragmentManager().getBackStackEntryCount() == 0) {
            super.onBackPressed();
        } else {
            getFragmentManager().popBackStack();
        }
    }
    @Override
    public void onNestedPreferenceSelected(int key) {
        getFragmentManager().beginTransaction().replace(R.id.contentSettings, NestedPreferenceFragment.newInstance(key), TAG_NESTED).addToBackStack(TAG_NESTED).commit();
    }    
}
MyPreferenceFragment.java
// The main preference fragment class
public class MyPreferenceFragment extends PreferenceFragment implements Preference.OnPreferenceClickListener {
    private Callback mCallback;
    private static final String KEY_1 = "NESTED_KEY1";
    private static final String KEY_2 = "NESTED_KEY2";
    @Override
    public void onAttach(Activity activity) {
        super.onAttach(activity);
        if (activity instanceof Callback) {
            mCallback = (Callback) activity;
        } else {
            throw new IllegalStateException("Owner must implement Callback interface");
        }
    }
    @Override
    public void onCreate(Bundle savedInstanceState) {
        super.onCreate(savedInstanceState);
        // Load the preferences from an XML resource
        addPreferencesFromResource(R.xml.main_preferences);
        // add listeners for non-default actions
        Preference preference = findPreference(KEY_1);
        preference.setOnPreferenceClickListener(this);
        preference = findPreference(KEY_2);
        preference.setOnPreferenceClickListener(this);
    }
    @Override
    public boolean onPreferenceClick(Preference preference) {
        // here you should use the same keys as you used in the xml-file
        if (preference.getKey().equals(KEY_1)) {
            mCallback.onNestedPreferenceSelected(NestedPreferenceFragment.NESTED_SCREEN_1_KEY);
        }
        if (preference.getKey().equals(KEY_2)) {
            mCallback.onNestedPreferenceSelected(NestedPreferenceFragment.NESTED_SCREEN_2_KEY);
        }
        return false;
    }
    public interface Callback {
        public void onNestedPreferenceSelected(int key);
    }
}
NestedPreferencesFragment.java
public class NestedPreferenceFragment extends PreferenceFragment {
    public static final int NESTED_SCREEN_1_KEY = 1;
    public static final int NESTED_SCREEN_2_KEY = 2;
    private static final String TAG_KEY = "NESTED_KEY";
    public static NestedPreferenceFragment newInstance(int key) {
        NestedPreferenceFragment fragment = new NestedPreferenceFragment();
        // supply arguments to bundle.
        Bundle args = new Bundle();
        args.putInt(TAG_KEY, key);
        fragment.setArguments(args);
        return fragment;
    }
    @Override
    public void onCreate(Bundle savedInstanceState) {
        super.onCreate(savedInstanceState);
        checkPreferenceResource();
    }
    private void checkPreferenceResource() {
        int key = getArguments().getInt(TAG_KEY);
        // Load the preferences from an XML resource
        switch (key) {
            case NESTED_SCREEN_1_KEY:
                addPreferencesFromResource(R.xml.nested_screen1_preferences);
                break;
            case NESTED_SCREEN_2_KEY:
                addPreferencesFromResource(R.xml.nested_screen2_preferences);
                break;
            default:
                break;
        }
    }
}