Yes, when you apply to Penn you must choose either Wharton, the College, SEAS, or Nursing on your application. You are not required to choose a major however. You are only allowed to apply to more than one program if you are applying for a dual degree program like M&T, Huntsman, or LSM. In this case you are allowed to choose one of the schools as a back up because dual degree programs are very specialized and competitive. For example say someone is interested in medicine but they are also interested in the administrative components where it is good to have some business experience. They may want to apply to LSM and put the College as their backup in case they do not get into the program (it may not be a reflection of you but rather that you may not be the best fit for the program since it is so specialized).