Redirect warning
A redirect warning is the interstitial - shown by the site you are leaving or by your browser - telling you that the next click sends you to a different domain. Some are honest hand-offs to a payment processor or a named partner; others are one hop in a chain that ends somewhere you would not have picked.
Where you see it
Between an outbound link and its destination: leaving a comparison or review page for a platform, leaving a platform for its checkout, and after a click on an advert.
Why it matters
The warning is useful because it names the destination before you arrive. Read it, and if the final domain is not one you recognise as the platform's or its stated processor's, go back and reach the site by typing the address. Redirects are also how a link that once worked goes bad - an old bookmark or an expired domain can be resold and pointed at a clone long after it was fine.