Also using Pages v14.3 on Sequoia 15.3.2.
I can create a new Paragraph style for the first line indented by selecting a paragraph, visiting the Layout tab, and clicking the default for First Indent, and then in the Paragraph style panel, click + to add and name the style. Applying this to another text block works as expected.
I can take an existing sentence that begins as body text, click the Drop cap box, select, and add it as a new Paragraph style. However, when I attempt to apply that style to another body text sentence, no drop cap effect is applied. I don't have a solution for that issue other than one may need to use the Drop cap selection manually.
To preserve newly created paragraph styles across documents, you should save these to a new Pages template that you can reference later in My Templates.