Drill-Up/ Down Behavior Not Displaying Level

[Cognos91]

I am seeing an odd behavior  while using drill up/down for a given hierarchy in Cognos 11 Report vs Dashboard.

I have created a regular dimension (DMR Model), and need for users to drill down/up in the given hierarchy.
Lets take an example of Country Dimension.
DMR hierarchy in FM is as:
Country
Country(All)
State
County
City.

Issue: When I drag the State on a simple list report or crosstab report, the cognos viewer displays one column with State in the column header and all states in the rows below. This window allows me to drill-down to the next level. When I drill-down, the column header changes to the actual State name (member name) on which I clicked. If I clicked on California, it will display California on the column header and then the counties under it. I want the header to display the level name - it should be County and the counties (members) accordingly.

Now, when I drill up from the County to State , then the column header no longer displays State as the column header. It goes back to displaying California and then the drill up further, displaying United States.

In the dashboard, I am able to view the State, County as the actual level names when using a chart item. Has anyone seen this unusual behavior? Or, would I need to specify any functions to purely display the level names in the title?

Thanks.