What happens when a visitor (without access) tries to view my restricted content?

A Membership Options Page (in the context of s2Member), is a Page you create in WordPress (like any other Page). Then you designate it as your Membership Options Page when configuring s2Member. This can be configured (or reconfigured) under s2Member → General Options → Membership Options Page. This page (always publicly available) serves two extremely useful purposes.

1. It establishes a URL that s2Member will use whenever it automatically redirects a user who attempts to access content that you've restricted in some way. For instance, if a user is unable to access content, because they've not yet purchased access to it. Or, perhaps their current status as a paying customer does not provide them adequate permissions to access something in particular; e.g., content that requires a specific Custom Capability or Membership Level. Since users are often redirected to this page for various reasons, many site owners will add s2Member's [s2MOP /] Shortcode to this page, which adds some additional (optional) functionality. For instance, it can help you display messages detailing the precise reason they were redirected to your Membership Options Page.
2. Now, because this page is where s2Member redirects users without access, the Membership Options Page is also a popular place to insert (you guessed it) Membership Options. If your theme provides you with the ability to generate pricing tables, this is a great place to make use of that—combining those with one or more Payment Buttons or Pro-Forms provided by s2Member. You don't have to do this however. Some site owners prefer to create a separate page of their own, where they might have a "Prices" tab that lists all of the available purchase options.