Nested categories in URL slug
The reason why you only see the top level category in your category field and why your URL's only use the top level category is probably because you set the "limit (number of selectable categories)" to 1 in your category field settings.
That way you can only choose one category but it also only selects the top category.

Pretty irritating, I know. I had some issues with it too.

So clear that limit and it should work.
I don't have a solution to limit the amount of categories selected without that option being checked. I guess you can adopt your templates for multiple categories or write a plugin to do some extra checking when selecting categories.