Steps to reproduce:
1.Open attached “SubStateTransitions.zip” Unity project
2.Open “Demo” scene
3.Select “Cube” object in Hierarchy
4.Go to Window->Animator
5.Enter Play mode
6.Set “Index” parameter value to “1"

Expected results:
Transition with condition “Index" equals to 1 is played
Actual results:
Default transition is played

Reproduced in: 2017.3.0b3, 2017.2.0f2, 2017.1.1p4, 2017.1.1f1, 5.6.3p4, 5.5.5f1, 5.5.0f1

------------------------------------
By design:
Default transitions never point to StateMachines, they always point to States. When the transition to the Sub-state machine is Default, the transition will point to a State inside the Sub-state machine which will cause other transition conditions to be ignored.