Good question. It would seem that the Court is casting the issue narrowly in light of the fact that the case involves citizens of Washington DC. DC residents by definition are not and cannot be affiliated with a state militia.
But the Court seems to be suggesting by implication that there are other categories of militias: state non-regulated, federal regulated, federal non-regulated etc.
This specialized parsing is worrisome because it may end up giving anti-gun nuts fresh opportunities to attack gun rights even if the Washington DC laws are struck down.
I think what most of us are looking for is a simple, comprehensive affirmation of the right to keep and bear arms in our individual capacities as private citizens irrespective of the states in which we live. The way the SCOTUS has framed the issue, that doesn't appear likely.
The District claims that people who are not affiliated with a state-regulated militia have no rights. Heller et al. claim otherwise. The only way the Court could rule in favor of Heller would be to affirmatively find that membership in a state-regulated militia is not required for Second-Amendment protections. Since that is the issue they'll be deciding, it's entirely reasonable and appropriate that they express things that way at this point.