So, if I change this 'Specify Action Page' to another page (a Thank You page for example) then will this still load the original contact form page?
The action page is just where the form is going to be processed... so, in theory, you could make the action page the thank you page - which means the Thank You page will then also have the processing code, as well.
The way I would do it would be to leave it on "self" the way it is. Then after the email is sent by Universal Email, you can tell Universal Email to redirect after sending... I would then have it redirect to the Thank You page.