The list view setting should work like normal.I don’t use because I’m in modern and its a bit chunky to me. If you have the List view box checked and the CEWP added in it should work just fine.
My Parent is Called Projects.
My child is Called PoPs.
My grand child is Called CLINs.
Projects and Pop vlookup relationship are set up normal.
So long as you pass an extra (the Project ID)field from the child to the grand child, you can create a lookup.
Screen shots attached.