The page margins are construction lines marked on each page of your document to help achieve a consistent spacing between page content and page edge.
You can initially set the page margin positions on the New Document dialog, and change them later using the Document Inspector. The page margin settings are applied document wide.
The New Document dialog also allows you to add a default text container to each page, which is sized to the page margins.
If your document is comprised of a series of single pages, you will offered Left and Right margin settings, whereas for spread edited documents these will be replaced by Inside and Outside settings.
The default setting is Snap to Margins on - you can set this from the toolbar, the View menu, or via the keyboard shortcut shown on the View menu.
With snap to margins turned on, when you draw or position a shape, the shape's nodes snap to a page margin if they are moved within the snap distance, which provides an easy way of accurately aligning a shape to a margin. The snap grid works in the same way.