Setting up a hierarchy filter can be tedious work and sometimes you realise it would be better to have a column higher up in the hierarchy and then again further down to efficiently select values. However, when you change the order of the hierarchy filter, the filter is cleared. I don't see any reason why the filter cannot keep its setting when changing the order, every level could keep its settings as they are.
Furthermore, the behaviour is rather strange upon removing columns, here some filter settings are kept, but they are not correct...