When you first launch Pages and pick a document template, the next thing you should do is manually select File menu > Save. The first time you use Pages and save a document, it opens to a minimalized Save panel that may look like the following:

You can click that Where: selector and choose Desktop, or you can click that down-arrow on the opposite side of the Where selector, and it will then point up and expand to what appears to be a regular Finder window with your Favorites exposed in the usual sidebar, and the Desktop located there. Clicking that also changes the Where: selection to the Desktop. Pages will then remember this expanded Save panel in the future, just as it remembers the last folder that was saved too. By initially saving an empty document, you also enable Pages autosave and versioning.