what I have done in the past:
apply the time code generator to one clip, position the window burn where desired
then copy atributes/filters
go back to your clip and DELETE the Time code generator filter from the clip
note that you have copied the attribute.
then proceed to nest your sequence... better yet copy your sequence onto a new sequence and call it nested picture with timecode generator.
in your new sequence paste the attibute you copied from that clip
and voila!
there is your window burn.
cheers
Carmen Del Toro