Enabling this setting will require the user be logged into the site before being able to see any pages.
Any attempt to view a page without being logged in will cause the user to be redirected to the login page (setup in Memberium Settings).
In case you want to have a specific page accessible to the public even with site lock enabled, you can navigate to the WordPress page editor of that specific page and check the “Force Public” option in the “Content Protection” section.
