How to use it with hierarchical taxonomies

This module is not intended for taxonomies, only composite entities: entities that are only relevant in context of their parent, eg. paragraphs. For taxonomies in a hierarchy, you would have to create a migration for the taxonomies, making sure to map the weight and parent fields. You can map the weight 1 on 1 and for the parent field you would use the migration_lookup plugin, with as migration the newly created taxonomy migration.

Thanks a lot for your reply, do you have an example using migration_lookup with parent? I tried to set parent_target_id and it didn't work.

No sorry, I'm not sure about the exact property names to use, that depends on the context.