Backslash/Forward slash as hierarchical tag

Does this only work on Import? Any ideas?

That's right.  The description in Preferences > File Handling says:

By "reading metadata", that's referring to the command Metadata > Read Metadata From File.  So LR will interpret "/" as a hierarchical separator when importing pics or using the Read Metadata From File command.  (It never interprets "\" as a hierarchical separator, and I've filed a bug report on that.)

When entering keywords in LR's Keywording panel (right column of Library), you need to use "<" or ">" as the hierarchical separator.  To enter the hierarchical keyword A > B, you could type "A > B" or "B < A" (in both cases, A is the parent and B is the child).

If you want to correct the thousands of photos you've already tagged using "\", you could do the following:

1. In LR, select all the photos and do Metadata > Write Metadata To File.

2. Use ExifTool to remove the fields XMP:Subject and IPTC:Keywords from the photos, leaving just the field XMP:HierarchicalSubject.

3. Use ExifTool and some other command-line tools like "sed" to replace all occurrences of "\" with "|" in XMP:HiearchicalSubject.  This step requires you to be experienced with command-line scripting and to invest at least an hour learning ExifTool, if you don't know it already.

4. In LR, select all the photos and do Metadata > Read Metadata From File.

Of course, make sure you've backed up your catalog and all your photos before you start this.