How is the digression, "Ill-Advised Curiosity," related to the novel Don Quixote as a whole?

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The digressionary story-within-a-story that "Ill-Advised Curiosity" represents helps to highlight the major theme of this picaresque novel, which is that of love. For Don Quixote, love is what drives his itinerant wanderings, and in each adventure there is a lesson to be learnt about the nature of love and what it can teach humans. The problem for Anselmo is his own arrogance and the belief he puts in his wife's faithfulness, that leads him to ignore the truth when it rears its most ugly head in even the most obvious of ways:

Anselmo was appeased with this, and was content to wait the time she asked of him, for he never expected to hear anything against Camilla, so satisfied and sure of her virtue was he; and so he quitted the room, and left Leonela locked in, telling her she should not come out until she had told him all she had to make known to him.

The stupidity of Anselmo in being so sure of himself and of his wife that he ignores even the most obvious signs of her unfaithfulness points out the dangers of love and trying to prove, define and categorise it. Anselmo ironically consistently demands such evidence of his wife's love for him that he eventually drives her to infidelity. Love is not an emotion that can be "proven" or made tangible in the way that he wants, and his determination to do so loses him a faithful wife, a loyal friend, and ultimately, his own life. This ties in with the wider theme of appearances vs. reality, and also highlights how Don Quixote has already learnt that trusting in what is seen does not yield an accurate view of life.