Some users, in the process of setting up new Macs, choose to store their Desktop and Documents folder on iCloud. I don't know if that pertains to you, but I certainly do not do that or even advise that configuration.
In all of the years I have been using Pages (including the current v14.4 on Sequoia v15.4), I have never encountered the dialog that you have shared when saving to local or iCloud storage.
Sometimes, Pages loses its mind and will do strange things that are not necessarily explainable. For those occurrences, I recommend rebooting the Mac, or one step further, booting the Mac into Safe Boot mode, test Pages, rebooting normally, and retesting Pages.
You might also short-circuit Pages loading its last saved execution state by pressing and holding the shift key while launching Pages. Then try opening and saving that document again.