and so on the events will repeat, isn't this right?
Did you try it out and did you get in an infinite loop? Nope; which shows this isn't the case.
When you redirect, you request a new page which is in no way associated with the previous one. So, when the new page is requested, the SelectedIndexChanged of the drop down list doesn't occur and the page doesn't post back to the server.
Does this explain things?