There are two formats for Pages documents: 1) the default, word processing layout, and 2) the Page Layout format.
Only in the Page layout format, every thumnail is a page and a section, where you can drag these into any order you wish. You can also delete any given thumbnail without compromising the whole document.
In Word processing, the first page is also a section and new pages are added to that section until you introduce a section break. You cannot move pages around in a section, but you can reorder each section whose pages accompany it. You cannot remove a section or any page of the section using a thumbnail secondary menu without whacking your document.
See Intro to word-processing and page layout documents in Pages on Mac - Apple Support
There is no means to convert a word processing document layout into Page Layout without destroying the document content. So caveat emptor on that File menu > Convert to Page Layout menu item. When you first open a blank document, visit the Document toolbar item and on the default Document panel, uncheck Document Body. You will get a informative dialog, and then a blank document. However, with a page layout document, there is no longer any text entry and flow between document pages, you must insert one (or more) text boxes to contain typed text, and link these on the same or different sections (pages).
If you are unhappy with that default orange ornamentation in Pages, visit System Preferences > General > Accent color and switch it to another color. Mine is blue.
