Create a new Web Scenario.
Type in a new Application name while creating the Scenario.
Before saving the Scenario also create a Step.
Now save the Scenario.
If you look in Latest Data for the host the Scenario is on you'll see a new Application has been created containing items for that Scenario and its single Step.
Now edit the Scenario and add a second Step.
Save the Scenario.
Go back to Latest Data and you'll see that the second Step's Items have been added to the "- other -" Application instead of the Application that the Scenario is part of.