Well, it seems that openssl can handle it by itself if the recommended exponent length is in the pem file. Nginx uses openssl routines to decode PEM file in ngx_ssl_dhparam routine. So the recommended exponent length should be taken into account. Can anyone more experienced confirm that?

However, the default values (hardcoded in nginx source) are 1024 bit long safe prime p and generator g=2. NIST recommends to use at least 2048 bits long primes with at least 224-bit prime order subgroup starting from 1 January 2011 :) Does using any 2048 group from RFC 5114 as a default one make more sense?