I think I have found the reason for this. Indented reminders seem to work fine when viewing the specific list where they are defined, but not when viewing the auto filtered lists ("Today", "Scheduled", "All" and "Flagged").
Try looking at the reminder by selecting the list that you have defined and listed it under, e.g., "Groceries", "Homework" etc. Sublists, indents, outdents, drag-and-drop to indent etc. should all work as expected in Catalina.
Hopefully Apple will make the auto filtered views work in the same way as the native lists.
I am currently running 10.15.1 - not sure if this works with earlier versions...