I wound up opening a case with support to get some help. I did get some additional information on the behavior. Here is what we received from Qlik R&D:
The "Keep Together" property works if the number of the rows created by the detail bands is less then max number of the rows for a single page, in fact the last bands (with few rows) works. For State and Country levels the property may not work because the rows created by their detail bands exceeded the number of page rows.
For technical details on this an other features and behavior, you can view the following article from Devexpress which is the pixelperfect development platform.
In the end, we just tried to experiment with different spacing and formatting to get as close as we could to the desired output.