Loops in a sequence can be grouped into loop levels. Loops on a higher level can contain loops on lower levels.
In the Sequence Editor, loop levels are displayed as white rows, above the channels' rows and below the time scale. On the left of each loop level's row is that loop level's button:
Loop level buttons
The bottom loop level in a sequence is always labelled "Loop 1"; the one immediately higher than that is labelled "Loop 2", and so on.
Clicking on a loop level's button will bring up a portion of the Loop Context menu (specifically, those menu items dealing with loop levels, as opposed to loops). You can use this, for example, to delete the loop level, remove all of the loops from it, or add a new loop level above or below the selected level.
If you wish to add loops to a sequence but it does not currently have any loop levels, use "Turn On Loops" from the Edit menu. Doing so will add a loop level to the sequence. Note that this is only possible in animation sequences, since musical sequences cannot contain loops.