What is defaultdict

 Usually, a Python dictionary throws a KeyError if you try to get an item with a key that is not currently in the dictionary. The defaultdict in contrast will simply create any items that you try to access (provided of course they do not exist yet). To create such a "default" item, it calls the function object that you pass to the constructor (more precisely, it's an arbitrary "callable" object, which includes function and type objects). For the first example, default items are created using int(), which will return the integer object 0. For the second example, default items are created using list(), which returns a new empty list object.

somedict = {}
print(somedict[3]) # KeyError

someddict = defaultdict(int)
print(someddict[3]) # print int(), thus 0

The defaultdict is a subdivision of the dict class. Its importance lies in the fact that it allows each new key to be given a default value based on the type of dictionary being created.
A defaultdict can be created by giving its declaration an argument that can have three values; list, set or int. According to the specified data type, the dictionary is created and when any key, that does not exist in the defaultdict is added or accessed, it is assigned a default value as opposed to giving a KeyError.    
x = defaultdict(lambda: 0)
y = defaultdict(lambda: defaultdict(lambda: 0))
defaultdict takes a zero-argument callable to its constructor, which is called when the key is not found, as you correctly explained.
lambda: 0 will of course always return zero, but the preferred method to do that is defaultdict(int), which will do the same thing.
As for the second part, the author would like to create a new defaultdict(int), or a nested dictionary, whenever a key is not found in the top-level dictionary.