You cannot make automatic pagination on columns.
You must "turn each column into a page." In fact, ticking the appropriate box at creating your doc will result in having two facing pages. Then typing Cmd-3 will make the current folio appearing in place (or straight on the page or better on the master page).
You can only paginate pages. That's quite normal, isn't it?
> Mac Pro Quad Core Intel 2.8 GHz, OS X.8.5, Quark XPress 9.5.4, Adobe CS5 <