Yes there is. Apple themselves wrote the CWYW implementation for Pages (the capability has been within EndNote for some time) and as such it's not as feature-rich or mature as the Microsoft Word version.

This means that whilst you can insert citations and have them automatically formatted in your chosen output style, you don't get the advanced features you do in Word such as inserting Figures and switching to temporary citation mode.  Also, changing output styles is a cumbersome process involving restarting both Pages and EndNote.

If you'd like to see this improved as much as we would, please let Apple know by completing the online form at http://www.apple.com/feedback/iwork-dot-com.html.