Preferences > File Handling incorrectly says:
"During import or when reading metadata Lightroom can recognize dot, forward slash, and backslash separated keywords as keyword hierarchies instead of flat keywords."
But backslash is not interpreted as a hierarchical separator. To reproduce in CC 2015.10 / OS X 10.12.3:
1. Start with a photo p1.jpg not in the catalog, with no keywords assigned to its metadata.
2. Use Exiftool to assign a keyword containing a backslash:
exiftool "-xmp:subject=ZZZ\AAA" p1.jpg
3. In Preferences > File Handling, select these two options:
- Treat '.' as a keyword separator
- Treat '/' as a keyword separator
4. Import the photo into the catalog.
5. Observe in the Keyword List panel that the flat keyword "ZZZ\AAA" has been imported at the top level.
6. Remove p1.jpg from the catalog, and repeat steps 2 - 5 but using "ZZZ/AAA". Observe that the hierarchical keyword ZZZ > AAA has been assigned to the photo.