What’s a “Page”? This is how I created it:
Page is the option below Document, and looking at the icon for your to-do list in the video indicates that it’s a Page and not a Document.
Pages are just an experimental feature to give people a chance to play with embedding views in rich text docs (lower case d).
At the moment, Pages support embedding Table views only.
I can only guess that you misclicked when attempting to create a Document…or there’s a bug 
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Doh! 
I assume “Link to Header” will eventually be supported in Pages?