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Can you nest a `pulumi.ComponentResource` within another `pulumi.ComponentResource`? If so, should all ComponentResouces take a `pulumi.ComponentResourceOptions` map?

Further, which resource should pass in `{parent: this}`?

Yes - a Component can have a child which is a Component.

The resource options are generally inherited from the parent if not overridden in a child, and this inheritance works through both components and custom resources.

At each layer, a component should pass `{parent: this}` on any resources it creates to ensure they are parented to it.  Those chid resources could be components or custom resources.