I think you are remembering a process associated with other games with the blinking corps. If you select the supreme HQ, you might get blinking armies. I have not seen this, but then I ignore GHQ during play except when the Czar steps into command (sad day for Russia).
The game manual is pretty accurate on what happens:
If stacked in the same region, the Army formations have the ability to stay together during movement by choosing the corresponding Special Order (Synchronized Move).
• If spread out in different regions, there is a chance of supporting an adjacent Army engaged in combat (i.e. “March to the Sound of the Guns”

. This ability is influenced by the level of Military
Control in both regions and by the Armies’ Cohesion.
• Increased Command Points efficiency.
• Combat bonuses when several Armies are fighting together (they will help each other more efficiently during a fight).
• Some special abilities of the Army Group/GHQ commander can benefit its Armies.
So to put it in my words and understanding, which appears to work in the games I have observed. Armies and corps march to the sound of guns to other armies and corps in the same or adjacent regions. But . . . They are not actually 'attached' as in other games. So to answer your question more directly, armies are attached to any corps in the same or adjacent regions, and to other armies. Corps are attached to any army in the same or adjacent region.
I think of it this way, GHQ has issued orders to all armies to support any army or corps in the same or adjacent region. Corps have orders to support any army. So . . . think of armies as the leading unit if you wish to trigger march to the sound of guns. Corps can do this, but they only respond to adjacent armies. I suggest, watch commitment during battle resolution. Leaders, terrain and fatigue of units all influence the actual commitment.
So, 'it doesn't matter.' Command penalties in this game are associated with individual corps and individual armies – only. There is no army benefit passed to corps command and command penalties.