This can be a bit counterintuitive to set up. It may be that the problem is that you've created this set of relationships for you conditional value list:
When you really need:
Table::Continent = TablebyContinent::Continent
Table::Country = TableByCountry::Country
Table::State = TableByState::State
Your conditional value list of countries would be drawn from TableByContinent. For States, use TableByCountry, for Cities, use TableByState...