Indeed I followed this structure, selecting only category pages  and I obtained
e.g. 690070 (sub category "Futurama", cl_from)  to parent category
e.g. 690451 (sub category "World War II", cl_from)  to parent category

so I my perception is the first example is correct, instead World War
II should be parent of Conflicts_in_1939

Am I right  or am I missing / misunderstood something?

I don't understand why the two should be different.
Futurama is a comic science fiction, so Category:Futurama is a subcategory of Category:Comic science fiction.
World War II is a conflict that was in progress in 1939, so Category:World War II is a subcategory of Category:Conflicts in 1939.
This seems consistent to me.
> If I look at the categorylinks for that category (cl_from = 690451) in the
> latest dump, I get some “conflicts” categories, then some “Wars involving X”
> categories and also few others, like “Modern Europe”. I don't see any parent
> category that would be missing.

That's correct for Modern Europe but if you compare with the page
you see some links are missing in the sql dump, such as:

What you got was a list of parent categories of Category:World War II.
But Category:Military deception during World War II is a *subcategory* of Category:World War II, not a parent category.

If you want to get a list of subcategories, you will need to search for something like page_namespace = 14 AND cl_to = 'World_War_II'.

Petr Onderka