When you enrol a contact into a membership, you can add a campaign for them so that there's a link between their membership and a campaign. But that seems to be it - any donations they make not automatically linked to the campaign and the same goes for member dues. So what's the point of this link? My use case would have been a good fit for this linking of membership to a campaign, where people have one membership type but are linked to different campaigns depending on how much they give.
I don't have this use case and am not sure how you want to engage your constituents with this information linkage, but one possible use is in reporting. You can filter on campaigns, so if you want a list of members that have a differentiator not based on amount or date of membership, then you might assign them to specific campaigns. Similarly, "campaign" can be selected in Advanced search and used to create a smart group that can be used for mailings.