Question: Why get this upgrade when i can already make this unit at the start?
Some strategies might be allowing you to build Militias even if you do not have the upgrade (e.g. Guerrilla Warfare).
Which strategy were you using when you saw you could build Militias?
I believe that if you don't have the upgrade, you won't be able to build Militias, let's say, using strategies like Perfect Defense, Blitzkrieg, None, etc.