You can only have one per set, if you want the macros from that set save them individually then putt them back where the set would have had them one by one. A little bit time consuming but once you have it you can save it and open it whenever.
Hope I helped.
To clarify,
You can have up to 16 pages per one set (.vks file) that can go on your controller.
When you open a new .vks, you over-write your .vks that is currently open. This is how it is.
If you want page one of .vks 1, but you also want page two of .vks 2, you'll just have to save the macros from .vks 2, and then strategically place the macros from .vks 2 onto .vks 1, page 2.
Let me know if you don't understand something and I can help you better.
Remember - only 1 .vks per controller in one period of time. You can switch the .vks on your controller at any time. You can also have up to 16 pages per .vks that is on your controller at one time.