NOTE: The information below is somewhat inaccurate. My mistake. The Page hierarchy is shown in permalinks, and the article I linked to discusses changing it in Posts. Thanks for the correction, @Milo.
Original Post:
You may not like this answer, but WordPress doesn’t include page hierarchy in urls. It is for use in your theme (menus, breadcrumbs…) only. So the behavior you are seeing is correct.
I did find an article discussing a way for you to impose that structure on a per-page basis. WordPress won’t do it dynamically for you, but it can be done.
http://winkpress.com/essential/permalinks/
The plugin mentioned in that article can be found here:
http://wordpress.org/extend/plugins/custom-permalinks/
Sorry that there doesn’t seem to be a way to make it happen automatically. If you are savvy, you might be able to write a little something that talks to that plugin, but I really don’t know if that is possible.