Hi,
This setting if for when you try to access the checkout with an empty cart.
I don't think that it has anything to do with your problem so that's normal.
Based on what you wrote, I'm not sure if the problem happens after the checkout when being redirected to the payment gateway, or after the payment gateway, when been redirected to the thank you page.
If it's about the first one, then it means that you entered a wrong URL in the "URL" field of your payment method.
If it's the second one, then it means that you entered a wrong URL in the "return URL" field of your payment method.
I would recommend to check on these.
If that doesn't help, please precise your issue, and provide a screenshot of your payment method settings and a link to the shop and a user account so that we can reproduce the issue.