As discussed on the phone - the PDF pages are converted to images when they are actually placed or georeferenced into the project. If you simply import the Pages, then the pages are split out of the PDF document and stored as PDF Pages in the project folder only. So if you break out of the command before georeference or placement of the image, the only place that knows they exist is in the Project Explorer under imported files. So when you start the georeference Vector PDF command, it is expecting you to start it from the selection of the image that you want to reference - if you don't have one selected it doesn't know what to do and gives you the message that you are seeing.
If you first select the imported file in the Project Explorer, then it knows which PDF Page you want to work on (from which it can find the vectors) and you will be good to go.
I agree that the message you are seeing could give you some extra help by telling you to select an Imported File / Image to georeference and rerun the command or something similar.
Hope that this helps - you can select the imported file and right click to pick the Georeference option etc.
Alan