Hi, ni-rwhite,
Drill hierarchies are set on a specific dimension field. In the example I showed, those drill hierarchies are only available for the Country field (see screenshot below for the drill hierarchies definitions), which means users can drill from Country to Age Range, from Country to Brand, from Country to Category, from Country to Condition, etc. These drill options will not be available for any other dimension. For example, users will not be able to drill from Category to any other field, because there is no hierarchy defined that starts with Category. Users will also not be able to drill from Country to any field that is not included in the drill hierarchies.
Drill hierarchies allow you, as the data designer (or admin), to define only the drill paths that make analytical sense and will provide valuable insights to users. This prevents users from drilling into irrelevant fields that would cause issues such as empty or inaccurate results and many-to-many queries. You can also choose to enforce drill hierarchies for all widgets that use the originating field (the first field in the drill path) by checking the "Always include with field" option (see the screenshot below for reference), or you can leave it unchecked and allow dashboard designers to choose which drill paths to include for a specific widget, from the available template hierarchies you have defined in the cube.
I hope this clears things up. Please let me know if you need further clarification.