This is hard to tell from the online help, but the drill down hierarchy feature as shown in the screen shot is only available for multidimensional databases (meaning cubes). If you're using a relational database, this option does not currently exist. However, it may be a good one to put in the Ideas section!
Thank you for your answer. I will try on the multidimensional database.
I have the same problem in this visualization http://public.tableausoftware.com/views/PerformanceComuneFaenza/Pivot?:embed=y&:display_count=no . When i drill a member, all the siblings are drilled... My data comes from csv fact table.
Any help would be appreciated!