Rather embarrassingly I've found the solution. It's been a few weeks since first installing jHipster and beginning to really try creating entities. I created a couple of simple ones to begin with and then played around with it to work out how I was going to use it.
Now I'm ready to start generating entities I looked at the website again and it says about these relationships. I think this is a new feature that has been added since I first installed jHipster though.
In the end I ran this
npm update -g generator-jhipster
And then when I tried to create an entity I got the question about relationships. Not sure if I need to somehow update my project to the new jHipster version now too.
How to update the JHipster project after updating JHipster generator?