How does it work?

Series Product display is specifically for those series of items that offering color and size options.

@Product Listing page
Which provides an alternative way to display series-items, all items with the same color or the same size will be binding up as one, only the first series item of "Princess Cape" 1 will be listing out on the Product-Listing page, more size 2 & color 3 options will then be available at Product Detail page.
Diagram: 1
@Product Detail page

Buyers will be able to choose a suitable size thru that size range 2, or pick a color from those thumbnails 3.
Diagram: 2

How to enable Series Product display?

Any of the product items can be turned into a series product catalog:

Structure of a Series Catalog
A series catalog must be placed at the sub-level, all items within should be solely reserved for the same series of items. Once any of the items within has defined as a series product, such catalog will then be treated as a series catalog container, it will no longer look like a sub-catalog, but presenting itself more look like a single item among those of the same level.

See also How to prepare my product-TREE (Color & Size) for batch uploading.
Setting of a Series Product
You only need to define the two parameters - "color-code" 3 and "size-code" 4:

1. Defining a "color-code"
All series of items that have the same "color-code" will be binding up as one 2, and all size options will then be available 1, which depends on which color has been chosen.

The thumbnail will be used for "Choose a color" display 2, such as RED.jpg, the "color-code" entry will be invisible.

Defining of Related-Images
"color-code" + underscore + "suffix number"
i.e., RED_01, RED_02, RED_03, etc.

2. Defining a "size-code"
Specifying all available sizes for each of the colors 1.

Change the Order Sequence?
Just add a prefix to your size-code 4
"number" + "round bracket"

01)XS;
02)S;
03)M;
04)L;
05)XL,

such prefix will not be showing up on your website 1, which is solely for the purpose of ordering.
Diagram: 4