Ensure you select your filters in Step First before proceeding to choose the hierarchy configuration. Also there is another option to apply JQL Query in the same filter dropdown.
To configure the hierarchy level, locate the section just below the Filter selection dropdown i.e Step Second. You can adjust your levels based on the issues you select. By default, the first three levels are available. If you wish to add additional levels, simply click the plus icon to include more.
After adding the level, click the Update button to refresh both the hierarchy configuration and the table.