Something seems to go wrong in the drill down with calculated dimension, I will follow that up with RD.
Meanwhile you can build the COUNTY & ',' & STATE dimension in the load script.
Or you can supply the location in the Location ID expression, and use the STATE->COUNTY drill down group.
For the state layer:
=STATE & ',' & COUNTRY & ':AADM1'
For the county layer
=COUNTY & ',' & STATE & ',' & COUNTRY & ':AADM2'
Having the location as expression also makes the selection neater when drilling down, hiding the the location type code.
By adding country in the expression the drill down will work also when using multiple countries.
County names are not unique so we're adding state info and country info. I'm also adding the location type: AADM1 and AADM2 to help the lookup service.
For more info on the location service: