The Dice score is widely used for binary segmentation due to its robustness to class imbalance. Soft generalisations of the Dice score allow it to be used as a loss function for training convolutional neural networks (CNN). Although CNNs trained using mean-class Dice score achieve state-of-the-art results on multi-class segmentation, this loss function does neither take advantage of inter-class relationships nor multi-scale information. We argue that an improved loss function should balance misclassifications to favour predictions that are semantically meaningful. This paper investigates these issues in the context of multi-class brain tumour segmentation. Our contribution is threefold. 1) We propose a semantically-informed generalisation of the Dice score for multi-class segmentation based on the Wasserstein distance on the probabilistic label space. 2) We propose a holistic CNN that embeds spatial information at multiple scales with deep supervision. 3) We show that the joint use of holistic CNNs and generalised Wasserstein Dice scores achieves segmentations that are more semantically meaningful for brain tumour segmentation.