I wasn't trying to suggest that you construct invalid html, more that the mobi format itself does a lot of things that are considered invalid in modern web coding. I wasn't actually aware that text inside a blockquote must be included inside it's own block level element to validate. I always use <p> tags within my blockquotes as well, but I don't focus on the mobi format aside from helping users out here.
If that's the case you may want to try using a combination of divs and blockquotes, e.g.:
<div>First level indent</div>
<div>Second level indent</div>
Edit: I just tried this and it doesn't work with the 'ignore margins' option. Calibre deletes all blockquotes if ignore margins is enabled. Without the ignore margins option it does work. The problem I foresee here is that Calibre might add css margins to the existing blockquotes, not sure - this might be why you saw an unacceptable level of indentation...
As far as the superscript goes, you're probably just running into another basic limitation of mobi authoring, I'm guessing if you go the debug route you'll find that Calibre already converted the css to <sup> inside the mobi.
The font serif issue is more than likely a bug/missing feature in mobi conversion. You should probably open a bug.
Unfortunately getting the best Mobi conversions often involves dumbing down the code... As mobi is still wildly popular because of the Kindle that conversion code is well maintained. However it's all reverse engineered since Amazon doesn't properly document the format or even follow html 3.2 standards; it's improved as specific suggestions are made. If you go the debug route and do further research on what mobi expects for some of these cases then those suggestions can be made and potentially implemented. For what it's worth, based on forum reports Calibre generally does a better job converting then Amazon's own Kindlegen.