While it is possible to create a system of hierarchical tags in DEVONthink, that’s probably due more to the initial tag design where Groups (with tagging enabled) and Tags are, for the most part, the same. Outside of DEVONthink, tags are typically thought of as a flat, non-hierarchical organizational system, while folders are a strict hierarchical system of organization. That’s probably not something new to anyone here, but I mention it only because I wouldn’t expect ordinary Tag groups in DEVONthink to become even more hierarchical than they are now.
Are you using Group tags or ordinary tags in DEVONthink? If you use Groups tags, which IMO is a better choice for anyone wanting to create tag hierarchies. The path to the document in the database (which is then the tag hierarchy) is displayed at the top of the DEVONthink window immediately below the main toolbar.
And yes, the tag display at the bottom of the document is in alpha order. If the order of tags at the bottom becomes confusing, the display can be turned on/off from the View menu.