I call it “making biscuits,” and it’s definitely a sign of affection. Misty and Deimos are middle-aged and both still do it, the former more so than the latter.
It’s a reflex that they instinctively do to stimulate the flow of milk when they’re nursing on mama kitty when they’re babies. It’s like their affection for you reminds them of their affection for their mamas and they just automatically do it w/o knowing why. That’s why I call it the “milk-march”. It’s really endearing.