Hi
Yes. Associated word should not be mixed with nested CF.
Once you have created the Content fragment, click on EDIT drop down -> Associated Content -> select the associate collection -> click on Associate collection (left side bottom). All the assets and CFs can be associated with each other now.
Link:- https://docs.adobe.com/docs/en/aem/6-2/author/assets/content-fragments.html#Adding Associated Content
Associated to fragments via collections. Associated collections enable curation of content that is relevant to the fragment.
~kautuk
Kautuk Sahni