Identifying wires in junction box
The wiring sounds perfectly normal to me, for US standards:


white wire = neutral
black wire = hot (unswitched)
red wire = hot (switched)


When the switch is on, the black and red wires are effectively connected together at the switch, so the voltage between them is zero. If you look inside the box where the switch is, you'll see that it is connected between the black and red wires.

When the switch is off, the red wire is not connected to anything at all, so it shows zero volts to any other wire (because of the finite impedance of the voltmeter).