Though I can guess why the double-post checking process handles it like that (to deter double-posters from the get-go and save a ton of time in processing posts that will eventually be nixed), I also noticed that it also deters people trying to get quotes from previous posts while their last post is still the latest one on the thread (I encounter that a lot in Nosebleed).
Though I just cope by copy-pasting the post I want to quote. But as GoodDay says, quoting the quote pyramids is going to be troublesome.
I suggest a little nifty modification to the existing process - allow the URL querystring to adjust for a quote when redirecting for double-posting, and append the quoted post at the end of the text box, but retain the double-post warning.
Maybe an addition to the existing process for redirecting double-posts will address this issue. Keep the double-post warning but append the intended quote on the end of the BB textbox's content with the user's still-latest post to allow the user to get the quote message, and use it as intended while on edit mode for his/her post.
Like, if the original URL has mode set to quote (?mode=quote), then if the validation process detects that it will lead to a double-post, one can include a quoting parameter to the intended redirection URL with the quoted post id, append a new process to handle that parameter and retrieve the quote message for appending.
Although on the downside the URL will be a bit longer, and a wee bit of time will add to the loading process to get the quoted post message.
EDIT: On second thought, maybe this one can be extensive depending on how the double-post detection process goes. My stepbrother chided me for being too detailed on my suggestion so I scaled it down. But hopefully the gist is still clear ^_^
Hopefully my suggestion helps a bit. :)