Pages supports two types of documents: 1) standard word processing document, and 2) page layout document.
You cannot remove document pages using thumbnails in the first type of document, because that will remove all content in your document. It warns you about that. The page layout document features every thumbnail as its own discrete section and you can use the thumbnails to remove one or more pages of content.
In your case, you have a word processing document and you would need to select all content on a page that you wish to remove and then backspace once or twice to remove that entire page content.