This scenario is not directly supported by OrangeCD. You can only have one level of groping, like in your first example.

Complete Mozart Vol. 1, Early Symphonies (1/2)
----CD1
----CD2
----CD3

Complete Mozart Vol. 1, Early Symphonies (2/2)
----CD1
----CD2
----CD3

To achieve it, you will need to do some manual editing in "Title" and "#in set" fields for each CD. I don't think any app would be of use here.

Andrei