gistfile1.sql

CREATE TABLE dbo.Final
(
    ID int IDENTITY(1,1) NOT NULL
,   text1 varchar(50) NOT NULL
,   text2 varchar(50) NOT NULL
,   text3 varchar(50) NOT NULL
);

CREATE TABLE dbo.Chain
(
    ID int NOT NULL
);

-- Works
    INSERT INTO
        dbo.Final
    (
        text1
    ,   text2
    ,   text3
    )
    OUTPUT
        INSERTED.*
    SELECT
        D.t1
    ,   D.t2
    ,   D.t3    
    FROM
    (
        VALUES
            ('A', 'B', 'C')
        ,   ('D', 'B', 'C')
        ,   ('G', 'B', 'C')
        ,   ('J', 'B', 'C')
    ) D (t1,t2,t3)


-- Comment out the insert portion to generate
-- A nested INSERT, UPDATE, DELETE, or MERGE statement is not allowed in a SELECT statement that is not the immediate source of rows for an INSERT statement.
INSERT INTO
    dbo.Chain
(
    ID
)
SELECT
    X.ID
FROM
(
    INSERT INTO
        dbo.Final
    (
        text1
    ,   text2
    ,   text3
    )
    OUTPUT
        INSERTED.*
    SELECT
        D.t1
    ,   D.t2
    ,   D.t3    
    FROM
    (
        VALUES
            ('A', 'B', 'C')
        ,   ('D', 'B', 'C')
        ,   ('G', 'B', 'C')
        ,   ('J', 'B', 'C')
    ) D (t1,t2,t3)
) x