How to redirect on Access Denied
Well, by now I just found that my question is technically wrong. Drupal is not supposed to do any redirect (HTTP 301/302) on access denied errors (HTTP 403). This is not how HTTP works (as mentioned by @Hudri in the comments).

On an access denied error, Drupal replaces the actual page content with the one from the "Default 403 (access denied) page" site setting. The URL being accessed is valid. It's just that we don't have the permission to see its contents.

I just figured what I was actually wanting to do, was telling Drupal not to use that page's regular template file (page--xyz.html.twig) on the case of an HTTP 403 error, but instead, to use a different one.

Found useful instructions on how to theme HTTP error pages here: https://www.axelerant.com/resources/team-blog/customizing-http-error-pages-in-drupal-8