You have mis-read the error. Transformer will support over 2 million categories. The error is that ONE category has more than 65,536 children.
You should look at the Transformer User Guide on how to create a hierarchy within a Dimension.
I am not ok how I can build a hierarchy in levels?
I found this solution by IBM, but I dont know where exaclty I need create the levels.
In one of the Dimensions of the model there are many more categories than in the others. Open the Dimension Map and turn on the Category Count - it should be obvious where the new level(s) need to be added.