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...