It leads to the bottom left input of a smaller-scale duplicate/"level" of the full image. This is why it is called an "infinite nested maze". Because potentially you could continue going into "deeper levels": smaller and smaller mazes nested within each other, infinitely. This is also why they are sometimes called fractal mazes.

This doesn't mean you have to always go deeper. You can also "zoom out" a level (and in fact the solution requires you reach the + on the same "level of magnification" you started on).

Here's an image showing the first "level of magnification" replaced, if that helps you visualize what's going on. It's not just A that gets replaced; B and C also have the same iterated structure as the shown maze. And it's not just one level being replaced like shown, it's an infinite number of levels of magnification.

And here's an example of "going down a level" and "coming back up", returning to the original level of magnification.

Start at the -.

Take the red path and it leads to the bottom left junction of a deeper level of the maze (which is labeled A for convenience). Now within that "box", the entire picture of the maze is repeated.

This means that going into the red path bottom left junction of the box leads to a "zoomed in" version of the maze, and you'll "come out" on the bottom left junction of the entire maze (though at a deeper level of magnification) from which a green path comes out of.

The green path offers 4 choices at this one-level-zoomed-in of magnification. 1). Go another level deeper into A at what will be the top right junction of A, 2). Go a level deeper into B at what will be the second from bottom right junction of B, 3) Go a level deeper into C at what will be the top left junction of C. 4). Zoom out a level using the green path to the third-from-left top junction, which leads out of the box A at the original level of magnification and comes out of the third-from-left top junction of box A to follow a blue path.