Going towards the red path means walking into a room that has a portal inside of it. It's not like the portals they have seen in the game previously, as it's a completely magical.

Upon further investigation you can look through the portal without entering it: it looks like this leads to another cave that's a lot colder than the cave they're in now. It's, however, dark, so it's hard to see much of anything else.

There's also definitely a very hostile presence at the other side of the portal.

It seems their little lightbulb friends are very of scared of this red hued portal and cling onto their legs and capes, as if trying to make them not go.