Create report-level components on page 1
First thing first: make sure all pages are the same width, as we will be using report-level components, and these could break (or better said, could look bad if all your pages don't have the same width). Second, make sure to leave space on all your pages to put your header (usually, the header is not the first thing you build as you might not be sure yet how many pages you'll have).
Now, please create a rectangle shape that you will put top of your page, and for each page (in our example, we'll have 3), create a text box with the name of the page just below that shape. We'll go one step beyond, having 2 text boxes and 1 image to show you it can work just the same.
Select these 4 components, make them report-level, and you should see something like that on all your pages (my title is page-level. To be sure it is not covered by the shape, set Report-level Component Position to Bottom in the Theme and Layout / Layout menu):