A sub connection needs to be moved under a new parent session.
This cannot be performed in a single action. Here are the steps to follow:
1. Select your sub-connection and click on Refactoring - Un-Parent to switch your session as a standalone connection.
Refactoring - Un-Parent
2. Select your session and in the ribbon Refactoring click on Parent.
Refactoring - Parent
3. Select to which entry you wish to link your existing session, thus making your session a sub-connection to a new parent session.
Link Existing Entries to a Parent