Originally it was intended to allow organisations of complex animations, such as:
Stopped
Stopped (with pistol)
Stopped (with machine gun)
Walking
Walking (with pistol)
Walking (with machine gun)
In this case each weapon-state would be a subanimation to Stopped, Walking etc...
I guess it's too complicated/not useful enough though, since nobody seems to use them. I guess we'll remove it in Construct 2.