Definitely doing it as described, often applying to multiple images at the same time. When I go into the image info it has applied all the keywords that I applied. I've even been clearing all the previous keywords before hand so there is no conflict. It just doesn't seem to be saving it as a hierarchy as you have seen. Not sure what else to try.
I have noticed some images have the hierarchy in the XMP from when they were applied in Lightroom (which I have now uninstalled) so I cleaned them out and reapplied a Hierarchy string using PM as described, but I cant see that would make any difference would it.
To clear out the old keywords first I used the keyword panel with no keywords in it, set it to replace keywords and that removed all the old keywords. Whether that affects how the new hierarchy keywords are then added I don't know, but I wouldn't have thought so.
Sorry for being such a pain.
Cheers