Creating custom hierarchy is possible in Power view which is very helpful to drill down different hierarchies. It would be great if this feature is added to Power BI.
You can create custom hierarchies in Power BI! Here's a quick demo of how to set these up: https://www.youtube.com/watch?v=SYPuJu2N45w&list=PL1N57mwBHtN0JFoKSR0n-tBkUJHeMP2cP&index=18
You have the capability to add drill down hierarchies in reports, please check out http://blogs.msdn.com/b/powerbi/archive/2015/09/08/power-bi-weekly-service-update-9815.aspx