Could be a caching issue? Constellation moves much of the architecture to client side, which is great for performance, not so great for design time changes. Logout and log back in, clear your cache, your new data page should show then.
Else it would be handy if you could share some of your configuration to pinpoint why it might be missing.
Here is a recent post I did showing saveable data page and data reference working end to end: Can anyone help me to fix this issue? I'm new to pega and seeing this error for the first time - #15 by MarcCheong