Hello Royks,
Thanks for reaching out on the Apple Support Communities. I understand you're having some trouble with the keyboard shortcut to insert a page break with Word. I know how frequently I insert page breaks when I'm working in a text document.
For Word, I have used command (⌘) + Return to insert a page break using my Magic Keyboard with Numeric Keypad on my iMac. The same key combination works with the internal keyboard on my MacBook Pro. I'm using Microsoft Office 365 on both devices.
I have tried using fn + Shift + Return as you mentioned you've done in the past, and was unable to get it to work with both the "Use F1, F2, etc. keys as standard function keys" both selected and unselected. I even tried creating a keyboard shortcut by following the steps in this article: Create keyboard shortcuts for apps on Mac.
I found these resources which you may find helpful as well:
Mac keyboard shortcuts - Apple Support
Keyboard shortcuts in Word - Office Support
All the best.