When embedded tests (which you can learn more about here) are inserted into a test, testers will begin the test at the starting URL of the embedded test if the embedded test is used as the first step of the test. If the embedded test is not the first step of a test, then testers will be redirected to the starting URL of the embedded test.
If there is no need for the tester to be redirected, cancel the URL redirect by unchecking the box "Redirect Tester" which is directly in your step.
Testers are redirected by default, but you can change this behavior within the Sites menu.
Note: Redirect settings only affect your account. Each team member will need to set their desired redirect behavior.