Set a security group as a member of unified group

I don't believe you can have add a security group as a member.  If your goal is dynamic membership, that is a new released capability of Groups.

From http://fasttrack.microsoft.com/roadmap :

"Administrators can now create groups with rule-based memberships using the Azure Management Portal. Group membership is updated within a minute as users’ properties change. This allows easy management or larger groups, or the creation of groups that always reflect the organization’s structure."

The linked details:

https://azure.microsoft.com/en-us/documentation/articles/active-directory-accessmanagement-manage-groups/#how-can-i-create-a-simple-rule-to-manage-members-of-a-group-dynamically

I know your scenario isn't copying the SG's members but wanted to mention that OWA now supports adding all the members of a DL or a group to another group.  It adds a snapshot of the members, not a dynamic nesting.  I believe an SG would have to be mail-enabled for this to work.