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Providing explanations is considered an imperative ability for an AI agent in a human-robot teaming framework. The right explanation provides the rationale behind an AI agent's decision-making. However, to maintain the human teammate's cognitive demand to comprehend the provided explanations, prior works have focused on providing explanations in a specific order or intertwining the explanation generation with plan execution. Moreover, these approaches do not consider the degree of details required to share throughout the provided explanations. In this work, we argue that the agent-generated explanations, especially the complex ones, should be abstracted to be aligned with the level of details the human teammate desires to maintain the recipient's cognitive load. Therefore, learning a hierarchical explanations model is a challenging task. Moreover, the agent needs to follow a consistent high-level policy to transfer the learned teammate preferences to a new scenario while lower-level detailed plans are different. Our evaluation confirmed the process of understanding an explanation, especially a complex and detailed explanation, is hierarchical. The human preference that reflected this aspect corresponded exactly to creating and employing abstraction for knowledge assimilation hidden deeper in our cognitive process. We showed that hierarchical explanations achieved better task performance and behavior interpretability while reduced cognitive load. These results shed light on designing explainable agents utilizing reinforcement learning and planning across various domains.