Ok, Cloud gets off the train after the first reactor mission. You walk left from the train station and find yourself at the base of the Pillar.

From the centre of the screen:

-Walking down and to the left takes you to the main 'town' of Sector 7.
-Walking up takes you to some guy sitting on a pipe admiring the pillar (oh, and a Save Point).

However,
-Walking straight down brings you face-to-face with two ShinRa guards.

You know the ones? One says something like "Fuck off maggots!" and the other is like "Umm, you can't come in..."

CAN YOU GET PAST THEM AT -ANY- POINT IN THE GAME?

At the time of the pillar collapsing, the guards move, but when you try and run down into the opening, Aerith is like "No Cloud, thou must climbeth thee pillar and saveth thy friendeth!" or something like that...

If its just a tease the game designers put in, then does anyone have any random suggestions for where it leads?

Perhaps Narnia?

No, you can't, is the short answer. They block the way into Sector 6, Wall Market, and other such places, preventing you from befriending Aeris before the game deems it appropriate, and generally restricting freedom. It's similar to the block you have on FFX that stops you getting into Bevelle, except for during the one storyline mission that takes you there.