You can set non-physical part symble via Menu Set->Settings Boards:Special Components.
There is a front-to-end tutorial with installation
Powers and Grounds are defined as symbols in the 'Globals' library and can be instantiated from DxDataBook, but can also be directly referenced in the Special Components tool bar if you set them up via the Settings menu as Yanfeng stated. Other common symbols such as hierarchical and page connectors are also set up from the dialog, the symbols themselves are in the Basic library delivered with the product. You will find plenty of other threads on this forum covering these topics. This is one such thread
Here are some others:
On your question about inter-page connectors, you don't have to have them, DxDesigner connects by 'name' but if you wish to enforce more stringent rules as you had in DC then read this thread and simlar:
How are you adding the symbols? Looks like you have edited the project file rather than using the Settings dialog. The error message is telling you that the library you are referencing does not exist.