Hierarchies, Oh Hierarchies…where are thou? (in PowerPivot)

I had a great question from a customer concerning something weird happening with PowerPivot relationships.  In this example, we have two tables such as city and state.

With the City-State mapping table, it is apparent that the cities of Boston, Quincy, Norwood belong to MA while Seattle and Redmond belong to WA.  Even though the relationship makes sense (as per below) the output doesn’t!