In [1]: data = [ row.split() for row in '''\
   ...: test1 ERROR1 ERROR1:TYPE1
   ...: test2 ERROR1 ERROR1:TYPE2
   ...: test3 ERROR2 ERROR2:TYPE1
   ...: test4 ERROR1 ERROR1:TYPE1
   ...: test5 ERROR2 ERROR2:TYPE1
   ...: test6 ERROR2 ERROR2:TYPE2'''.split('\n')]

In [2]: data
Out[2]: 
[['test1', 'ERROR1', 'ERROR1:TYPE1'],
 ['test2', 'ERROR1', 'ERROR1:TYPE2'],
 ['test3', 'ERROR2', 'ERROR2:TYPE1'],
 ['test4', 'ERROR1', 'ERROR1:TYPE1'],
 ['test5', 'ERROR2', 'ERROR2:TYPE1'],
 ['test6', 'ERROR2', 'ERROR2:TYPE2']]

In [3]: nested = {}

In [4]: for file, error, errortype in data:
   ...:     nested.setdefault(error, {}).setdefault(errortype, []).append(file)
   ...:     

In [5]: nested
Out[5]: 
{'ERROR1': {'ERROR1:TYPE1': ['test1', 'test4'], 'ERROR1:TYPE2': ['test2']},
 'ERROR2': {'ERROR2:TYPE1': ['test3', 'test5'], 'ERROR2:TYPE2': ['test6']}}

In [6]: for error, errortypes in sorted(nested.items()):
   ...:     print('\n##', error)
   ...:     for errort, tests in sorted(errortypes.items()):
   ...:         print('#', errort)
   ...:         print(', '.join(tests))
   ...:         

## ERROR1
# ERROR1:TYPE1
test1, test4
# ERROR1:TYPE2
test2

## ERROR2
# ERROR2:TYPE1
test3, test5
# ERROR2:TYPE2
test6

In [7]: