I never really paid much attention to most of the trigger choices, I always had a specific thing in mind so I knew what to look for. But while slowly reading through all of the trigger actions, I came across the 'Set Next Scenario' trigger and messed around with it a little but I wasn't exactly sure what it's supposed to do or how it works.
Is it what I think it is and actually loads a completely different map after that game is over? Because I have never seen that done in any map I've played so I was wondering what that action does exactly or if it even works?

It only works in single player.

But yes, it is used to string together a series of maps, like the mini-campaigns that people release on the internet.

I used it in my failed campaign.
There's no trick to it. It's easy as heck. Just requires singleplayer.

And victory/defeat triggers.