The code you posted doesn't run on my pc.

Selection.Text = "New Page " + i

should be

Selection.Text = "New Page " & i

and
Selection.Collapse wdDirection:=wdCollapseEnd


should be

Selection.Collapse Direction:=wdCollapseEnd


and
Selection.InsertBreak Type:=wdPageBreak

won't run because the selection at that point is the shape that has been inserted.

SO the conclusion is that you've never run the code that has been posted.

Can you post the actual code you are using.