The Page Numbers setting ( in Catalog Setup ) means that it will show page number links. So
if that's set to 'Yes', you'll have something like:
<< < 1 | 2 | 3 | 4 | 5 | 6 | 7 > >>
Page 4 of 16
while if you set it to 'No', it'll look like:
<< First | < Previous | Page 4 of 16 | Next > | Last >>
The Page X of Y still shows in both settings, but the page number
links themselves only show when Page Numbers is set to Yes.