A document in Sketch can have any number of Pages. Instead of having each Page in its own document, putting them all together in one document has a number of benefits.

For example, Symbols and Shared Styles work across Pages, but not cross-document.

Another reason for using multiple Pages has to do with performance. Sketch can easily handle a dozen Artboards on Page, but depending on their content, size and the number of them, you may find it beneficial to split the work up into multiple Pages.