I consider it important for 2 reasons.

1. The spec is where we define how this model object should work. A key part of this model working correctly is having the correct associations. Basically the definition of the model would be incomplete without this so we test it. If you were to remove the association you'd want feedback that you did that. You'd probably get this all over the place from other tests, however you should get one test that makes it very clear what the source of the problem is.
2. This also tests that you've set up your database correctly. Did you forget the foreign key in your migration? Did you forget the join table? Getting feedback quickly about that is also helpful.

So it's less about testing that Rails works, and more about testing that you didn't forget something and to help prevent regressions in the future.