Hello, Arielle !
Karlie here from the Shopify Guru Team! You would want to add in your Refund Policy by heading to your Shopify Admin> Online Store> Navigation and click to edit the 'Footer Menu'. From here, you can 'Add Menu Item' and you should be able to find your Refund Policy by typing in 'Refund' under the 'Link' bar. If this isn't working for you, be sure to clear your cookies/cache for your browser before trying again.
You can check out this doc for more information on menu items.
I hope this helps, but if you find that this still isn't working for you - be sure to reach out to Shopify support!
I think I figured this out.
The first step (which you've done) is to set up the new pages in 'Online Store-Navigation'.
But just because you set them up, it doesn't mean that it will enable it to your site.
In order to add your navigation headings to your site, you'll need to go to the site editor (Online Store-Themes-Customise) then Sections-Header-and underneath your logo, you'll see Menu. Click 'Change' and you'll see Main Menu (or whatever you named your heading group). Just select Main Menu (so you see a purple check mark) and click 'Select' on the bottom.
I guess the idea is that you can tinker around on your admin panel but the customisations need to be done for the site editor. I agree it's inconsistent though as there are a ton of things that you edit in the admin panel that automatically apply to the site like Messenger icon positions etc.
Still. Problem solved. It had me pulling my hair out until I got there! Hope this helps everyone avoid the same! :)