One might ask why the Atmel AVR folks designed the hardware to automatically disable interrupts upon first entering a ISR routine as the default behavior, if it was almost always the best practice to do otherwise?
OTOH ARMs do allow nested interrupts and IIRC it's up to you to disable them in each ISR if needs be, so I don't think there's a fundamental law of nature that states they should be disabled.
I agree though that it's a can of worms you probably don't want to open unless very experienced.
Rob