This is the part that trips up people coming from other tools: a #, ##, or ### heading inside your content is purely visual. It controls how big a line of text looks — nothing more. It does not create a new page, and it does not appear as a separate entry in the sidebar.

If you want a new page, you create a new section or subsection. If you just want a big line of text within a page, use a heading.

This separation is intentional. It means you can have a large styled heading partway through a page without splitting into a new section, and you can have a new section with no visible heading at the top at all.