Because there is no option for that yet. WordPress stores all the categories and taxonomy terms on the same table, so it’s extremely hard to make a hierarchy if both taxonomy terms and categories are supported.
I’m working on a release where I was able to solve this on the back-end yesterday, but the front-end is yet to come. So please hang on, it’s going to be possible one way or another. I’m working this weekend as well to be able to release version 4.1, where this should be solved.Best,
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