Why is there no red line in Pages when proofreading?

In Pages v14.3 on macOS 15.2, when you select a block of text and then choose Proofread, it will not apply any proofing marks or red underline. It will create a floating corrected substitution of that text which you can apply or copy to the clipboard. Only the Pages product team knows why it does not provide any original text proofreading indication as would Grammarly. There is nothing in Pages Settings that will allow the user to refine how writing tools behave. Enabling Track Changes will make no difference in the AI Proofreading results.

There is a different team with their own design decisions supporting TextEdit and it does not pop the proofreading result in a floating dialog. It does the proofreading in place and places the controls above the text for reverting, applying, or sending feedback to the Apple Intelligence team.

As these are strictly fellow user-supported communities, no Apple product team participates here to answer your "why" question.

You can send feedback directly to the Pages product team from the Pages application menu as a feature request. They probably won't reply owing to the volume of feedback but they might at your email. They will not phone you.