I see. You were probably logged in as admin when you tested before? Or perhaps it was a cache thing.
Yes, if a page is protected and someone without its access tries loading it, he’ll be redirected to the Membership Options page. WP Admin > s2Member > General Options > Membership Options Page
You can customize the message on the Membership Options Page, using the variables it gets on redirection. See: https://s2member.com/kb-article/s2mop-shortcode/
If you weren’t selling the Specific Page acces, but were instead making the person signup and selling him ccaps for the individual pages, you could then not restrict the whole page, leave it public, but put the body of the page inside a condition that shows the payment details if the person doesn’t have access, or the content if he does. https://s2member.com/kb-article/s2if-simple-shortcode-conditionals/