Don't indent first paragraph in Pages
This is an important question for anyone concerned with proper typesetting.

The solution is to click on your first body paragraph, create a new paragraph style (by pressing the 'plus' symbol at the drop-down style selector). Give it a unique name (such as 'Body - First Paragraph'). Under the 'Layout' tab, set the 'First' indent to 0. Under the 'More' tab, set the 'Following Paragraph Style' to 'Body'.

You can repeat the same process of setting the 'Following Paragraph Style' to 'Body - First Paragraph' for each of your heading level styles, if you do not want to change the style of the first paragraph manually.