Selecting this option will only redirect visitors if they are coming from a source external to your website such as a search engine or another website.
Any internal browsing of your own website will result in the redirect being ignored.
This option is useful for allowing visitors to go back to the initial page they arrived on through an internal link in your website without getting forced redirected again.
You have setup a redirect for http://website.com to redirect Canadian visitors to http://website.com/ca
When a Canadian visitor arrives on http://website.com, they will get auto redirected to http://website.com/ca however if you have a link in http://website.com/ca that lets the visitor go back to http://website.com, they won't get forced redirected back to http://website.com/ca
This option works as a 'redirect on first visit' to your website and is useful if you have location specific sub pages in your website however you want to give the visitor the ability to go back to the initial landing page.