Below is a screenshot from the help that explains how the "Page Number" condition works.
- Page Number - DC.png (90.71 KiB) Viewed 24233 times
You don't have to do it that way, you could simply make the display page equal a constant value, the "page number" feature just allows you to move your pages around without having to redo all of your conditions.
Page 0 has to have no condition so that something is displayed by default if your conditions aren't met. So for example lets say you were able to put a condition on page 0 and you had the following:
Page 0 - Display Page == 0,
Page 1 - Display Page == 1,
Page 2 - Display Page == 2.
If for any reason the "Display Page" channel had a value of 3 what would the Dash display? None of the conditions are met so it would have to be just blank.
This is why the first page has no condition, it is always displayed when none of the other page conditions are met.