Remove the default WordPress behavior of displaying checked categories all at the top. This will keep the nested structure even when checked.

wordpress-terms-checkboxes-keep-nested.php

add_filter( 'wp_terms_checklist_args', 'ryno_wp_terms_checklist_args', 1, 2 );
function ryno_wp_terms_checklist_args( $args, $post_id ) {
	$args[ 'checked_ontop' ] = false;
	return $args;
}