The sermon, events, staff and gallery pages are not pages you'll find under web pages. So adding them to the menu is a little different than adding web pages to the menu. For these you'll use the custom link option.
Here are the URLs:
Sermon URL - https://www.yourRealdomain.com/sermons
Events URL - https://www.yourRealdomain.com/events
Staff URL - https://www.yourRealdomain.com/staff
Gallery URL - https://www.yourRealdomain.com/gallery
Member Directory URL - https://www.yourRealdomain.com/members
The link text is the text that shows on the menu. So for Sermons you would put Sermons, Messages, Media or whatever you want the link to say on the menu. The URL has to be what's above but the link text can be anything you want.