Michael,
While loading the Master data attributes select the option set filter by attribute or hierarchies in set selection option of data manager package. Its a radio button at the bottom of the screen.
Next when you load hierarchies and you get rejected records, Please verify in BW that are those members present in the hierarchy if yes please check if they have any compounding. You can paste the screenshot of the BW infoobject hierarchy view and DM package logs for a better analysis and help.
-Nikhil