It’s an issue with WP core that hierarchies don’t display in Appearance > Menu > Product Categories tab. In that ticket you can find workarounds:
https://core.trac.wordpress.org/ticket/18282
For me worked partially (displayed the hierarchy to the left) this plugin, discussed in the above ticket:
https://core.trac.wordpress.org/attachment/ticket/18282/preserve-page-and-taxonomy-hierarchy.php
you can download it at the bottom of the page and upload in your “plugins” folder. Then go to WP Dashboad > Plugins > Activate
Now I can see the hierarchy in Appearance > Menu > Product Categories tab > All.
Then I can “Select all” and add them my menu. However it adds the categories withput the original hierarchy that I had set in Products > Categories. Still they are not messed up as with the default state of WordPress (last version).