You need to use the following hierarchy of K2 extrafields to make it work (e.g.) :
--- Parent field (e.g. name = Car brands, with values = "BMW", "AUDI");
------- Child field 1 - with name = "BMW models" and values = X1, X5, X6
------- Child field 2 - with name = "AUDI models" and values = A1, A2, A3
Where 'models' part in child field name used as marker for make field connection (we just call it as children or parent).
1) In the module param "Connected fields", use the following sintax for make connection:
Parent field name=>Child field marker=>Child field marker
e.g. Car brands=>models
2) Works only with drop-down select boxes
3) You need to select all connected fields (parent and childs) in "Select Extra field" param.