I have not tried this myself but even though it would not be as exact as being able to search on an exact phrase that already contains quotes in part, but have you tried seeing if you could get the same functional result by setting up a search for "and then James said" AND "come here"?
I feel your pain. If you nest a label one would assume (prefer) that the parent label inherit the child label, but as you've noted, it does not.
A common solution is to add another filter that catches all the same messages as combining the 'child' labels into a single filter would.
Mail Filter 1: