There are two kinds of WordPress sites, and depending which kind you have, your features (and ability to do certain things) will differ.
The most obvious way to determine which version you have (if you don’t already know) is to login and then look at the interface for your pages. (See image above.) But if you’ve connected your self-hosted site to WordPress.com (in order to use JetPack or some other plugin), then the interface may be misleading. At the end of the day, you should know if you’re paying for hosting somewhere or not.