How to insert Slicers from PowerPivot hierarchies the right way

I think the Excel 2010 introduction of Slicers to filter your pivot tables makes it so much easier to filter the information in the pivot table and the ability to let slicers "Show items with no data last" was very helpful. But when working on demo based on Adventure Works I was very surprised that it didn't work when I added the Geography hierarchy as slicers to my Pivot table.