Please, note that Category relationships are automatically inherited by the "parents", that means that when you select a sub-Category, you are automatically creating a relationship with its parent Category (if any).

For greater flexibility, you can opt to select only the desired sub-Category; however, if you want to make an explicit relationship with a "parent" Category, then select it too.
What's the difference? If you only select a sub-Category, and then (at a later time) that sub-Category is reassigned to another parent, then the relationship will be transferred to the new parent; however, when you have selected a Category (parent), even if its sub-Categories are reassigned to another parent, the relationship with the parent will be kept.