Using the actual clicked menu item at Format > Baseline > Superscript does promote selected text to superscript. The associated keyboard shortcut does not. You cannot fix that as it is something the product team has to fix internal to Pages. You can however, select some text, make it superscript, and then add that as a new character style with an assigned F1-F8 function key assignment. Create and use character styles in Pages on Mac - Apple Support
This is an issue that has survived several releases of Pages and at least a year in time. When I first noticed the superscript keyboard shortcut was not working, I sent feedback to the Pages product team. They contacted me by email and though I clearly explained what was not working in my feedback, and once again in the email reply to the product team, it was like talking to a tree, and eventually they stopped exchanging emails. How someone on their end could not grasp a clear English explanation causes me grave concern for this application.