In pandas, set_index is not creating a hierarchical index

I have a data frame that I am trying to hierarchically index by two columns, State and RegionName. However, whenever I try to set the index, I get, for lack of a better word, parallel indexing and not hierarchical. I tried the same code for a different data, set and I did not run into this issue.

df = pd.read_csv('City_Zhvi_AllHomes.csv') 
df.set_index(["State","RegionName"], inplace = True) 

The results look like this:

I have looked around Stackoverflow, but have been unable to find an answer for this, or even find a similar question. Any and all help will be appreciated. Thanks!