You must click within your document body before the Insert menu items become active. You can insert a blank page only by choosing Insert : Section : Blank, which by implication, starts a new section. You would position the cursor behind the last word of the page that precedes the new section.
You can use the Insert : Choose… menu item to select certain file types for inclusion within your Pages document. Items that are grayed out, including Pages documents, are ineligible.