URL redirection on my site

I have created some pages on my WP site and am going through the SEO options. One of the things that is flagged in red for me is that the focus word doesn’t appear in the URL and advises me to change the URL. However, it then warns me that should I change it, ensure the old URL 301 redirects to the new one…

What does this mean exactly? If I change the URL on this page, what else do I need to change??

My WP knowledge is limited!

Thanks in advance.
Louise