Related changes list all recent changes in articles linked to by the current page, but not more than the number specified in the preferences. Its header is "Recent changes" with subheader "(to pages linked from "xxx")".
This feature can be used to set up custom watchlist-like functionality. It behaves like a watchlist which would contain every page linked to from the current page. However, Related changes does not automatically include talk pages; to watch also the corresponding talk pages, links to them also have to be in the page on which Related Changes is applied.
If you have the option "Hide minor edits" enabled in your user preferences and the last change to a page was minor, then the page will not show up, even if there have been non-minor changes in the last days.
See also Help: Preferences - Under the Hood - Recent changes, histories, and logs, "Hide minor edits in recent changes".
Note that for links to redirects, only a change in the redirect is given, not a change in the target article. In this regard a direct link to the target article is superior.
The "Related changes" feature neither lists changes in images or sound files nor in image description pages (regardless of which of the three linking methods (image, :image, or media)) is used.
When applying the feature to a subpage, the automatic link to the parent page is ignored, i.e., changes in the parent page are not listed unless there is also an explicit link to it.