For this trick you'll need to install something like the ezPHP plugin to enable PHP code inside your Membership Options Page. Then, you can use the following PHP code on the Membership Options Page to show a message that states what type of Level, Custom Capability, or Specific Post/Page is required to access the content that caused the redirect to the Membership Options Page.

    @list($restriction_type, $requirement_type, $requirement_type_value, $seeking_type, $seeking_type_value, $seeking_uri)
            = explode("..", stripslashes((string)$_REQUEST["_s2member_vars"]));

if (!empty($requirement_type)) {
    switch($requirement_type) {
        case 'level':
            $type = 'Level';

        case 'ccap':
            $type = 'Custom Capability';

        case 'sp':
            $type = 'Specific Post/Page';
    echo 'This content requires ' . esc_html($type) . ': ' . esc_html($requirement_type_value);

See also: [s2MOP /] Shortcode Documentation

If you use the [s2MOP /] shortcode you won't need the code sample above; i.e., the shortcode does it all.