In the MSF Agile template, Scenarios can also be thought of as "User Story" - kinda like a lightweight agile use case.
The Scenario details the broad picture of the functionality that is wanted to be implemented, recording a single path of a users interaction with a part of the system. For example, in Stack Overflow a couple of Scenarios might be "Ask a Question" or "Answer a Question". Scenarios and Quality of Service Requirements can be thought of as top level work items in MSF Agile (i.e. the work items that define the system) with Scenarios being functional requirements and Quality of Service being non-functional requirements.
I tend to create multiple tasks from each scenario and typically only record my check-ins against the task. In TFS 2010 properly hierarchical work items are coming which will make this way of working easier to report on. Currently work item associations are bi-directional (i.e. you can say that a task is associated with a scenario but you cannot say that it is a child of it).
There is nothing wrong with marking your check-in against the task and scenario, just that it creates more work for you when checking in. Also, the scenario might be getting delivered by a number of developers were-as a task tends to be down at the granularity of individual person activities.
If you are doing a lot of associating of a work item to a scenario, then the following tip might be handy for you (http://www.woodwardweb.com/vsts/top_tfs_tip_3_r.html). It shows you how to modify the standard MSF Agile process template to remove the ability for check-in's to resolve the Scenario but just associate the check-in with that work item. Resolving on check-in for a long running work item like a Scenario is nearly always not what you want to happen - but is the default behavior out of the box.
Hope that helps.