The Redirect to First Child option is made in the Behavior Editor, Settings section under Options.
Its effect is to redirect traffic from a Page being used as a Section-head in the web-site tree to the first Page of that section.
A simple use of this function is to enable you to manage custom navigation.
Using redirection to first-child as a permission switch
This is an advanced use of this function to enable you to display different content depending on User Group.
"If the user is in group A then show page X otherwise show page Y"
Read about advanced use of Redirect to First Child here...