How can we enable models to comprehend video anomalies occurring over varying temporal scales and contexts?Traditional Video Anomaly Understanding (VAU) methods focus on frame-level anomaly prediction, often missing the interpretability of complex and diverse real-world anomalies. Recent multimodal approaches leverage visual and textual data but lack hierarchical annotations that capture both short-term and long-term anomalies.To address this challenge, we introduce HIVAU-70k, a large-scale benchmark for hierarchical video anomaly understanding across any granularity. We develop a semi-automated annotation engine that efficiently scales high-quality annotations by combining manual video segmentation with recursive free-text annotation using large language models (LLMs). This results in over 70,000 multi-granular annotations organized at clip-level, event-level, and video-level segments.For efficient anomaly detection in long videos, we propose the Anomaly-focused Temporal Sampler (ATS). ATS integrates an anomaly scorer with a density-aware sampler to adaptively select frames based on anomaly scores, ensuring that the multimodal LLM concentrates on anomaly-rich regions, which significantly enhances both efficiency and accuracy.Extensive experiments demonstrate that our hierarchical instruction data markedly improves anomaly comprehension. The integrated ATS and visual-language model outperform traditional methods in processing long videos.Our benchmark and model will be publicly available.