Did you get a 1099NEC for it instead of a W2? Then you are not an employee. You only get that question if you are filing schedule C for self employed as an independent contractor, freelance, contract labor, etc. Being self employment means you are the owner of your own self employment business and the person who pays you is your client or customer. You personally are the Business. You need to pay self employment tax on it because they didn't take any taxes out of your pay.
Yes you should check the All investment at risk. It means you are using your own money to pay for expenses so you can deduct any expenses for this job.
You pay Self Employment tax on $400 or more of net profit from self-employment in addition to any regular income tax. You pay 15.3% SE tax on 92.35% of your Net Profit greater than $400. The 15.3% self employed SE Tax is to pay both the employer part and employee part of Social Security and Medicare. So you get social security credit for it when you retire.
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