Hi @Sharon_Dar , welcome back 
It sounds like you have two issues here.
For rules triggering on multi-select field options, I have found that these work best when you have one rule (one trigger) for each multi-select option instead of adding all options as conditions within one rule. This make sense because Asana will find the first condition that matches and only carry out it’s relevant action - it won’t carry out actions of the next conditions, even if they are fulfilled.
For your 2nd issue, it sounds like you want your rules to create subtasks and then a subtask within a subtask, right? You can do this by clicking on the pencil icon of a subtask in order to go into it and create more subtasks.
However, I should mention that subtasks within subtasks should be avoided, if possible, as work begins to get buried and potentially lost or overlooked. You may want to consider restructuring the subtask hierarchy, perhaps by using subsections, or separators in your list of subtasks using Tab+N to create them. See more here.