These events are called sub-events. There are many ways to create them. I use the "B" shortcut that creates an empty sub-event. The "S" opens the Add event dialog, so you can immediately choose a condition. Finally, if you right click on the furthest left side of a condition (just right before the icon of the object that the condition checks), a menu appear that has many important choices, the first of all being the "add" in which you will find the sub-event options.
And yes, this is a very useful thing, not only it saves you space (because you can nest many sub-conditions that have a common condition on top and those conditions can nest sub-events by them self etc), but since they act hierarchically, you can create complex events that pass along actions from the parent conditions to the child conditions whenever the parent is true. This has the added bonus of being very efficient, since when a top condition isn't true, all sub-events are ignored and C2's code is being read faster per tick.