Hierarchies are quite special. They regroup multiple Dimensions. However, a Hierarchy doesn't just affect the Data Source, but also the visualization and the way the users can interact with it. A hierarchy creates a relationship between different Dimensions, such as a parent-child relationship.
The dedicated icon for Hierarchies is 
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Hierarchies are crucial for geographical roles. If you try to build a visualization in a city level without a hierarchy, lots of cities won't be displayed because their names are ambiguous (they exist in multiple countries). By creating a hierarchy with a country-level field and a region-level field, ...
