'Charge This Phone' vs 'Charge Connected Device'
Charge this phone


It means that your phone will be charged from the laptop battery via USB.


  Charge connected device (Charge the connected device via USB)


It means to charge your laptop via USB from your phone. Most probably, your laptop (like that of many others), cannot be charged via USB, so if you choose that, it is giving an error. But the option still persists simply because your laptop runs on battery. Had you connected your phone to a PC, this option would not have come.