The "Related changes" feature lists the last change in each article linked to from the current page, provided that it is recent enough, and not more than the number specified in the preferences. Its header is "Recent changes" with subheader "(to pages linked from "xxx")".
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 not-Minor changes in the last days!
See also Help:Preferences under "Hide minor edits".
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.
Reading: Go | Search | URL | Namespace | Page name | Section | Link | Backlinks | Piped link | Interwiki link | Redirect | Variable | Category