How to do a mail merge on pages in iMac with Numbers

There is no built-in Mail Merge in any release of Pages from v5 (Oct 2013 to present 10.3.9). This is better done with applications designed for it, either using Word/Excel or the free LibreOffice Writer/Calc applications. Chapter 14 in the LibreOffice Writer User Guide is about Mail Merge.

In the U.S., Avery provides downloadable, blank mailing label templates in Pages document format. You open these and then Save as Template from the File menu. Don't know about file folder labels. Maybe Avery offers these in Pages format too.

Another means to create a sheet of Mailing labels is the Contacts application, where you can import Numbers, or Excel generated text CSV sheet of addresses, and the Contacts application will generate a contact record for each in a New Contact Group. Then you select every contact in that specific group and visit the Print panel where you can select the style as Mailing Labels and your particular Avery Standard sheet number.

See Contacts User Guide.