That's correct. Object Linking & Embedding [OLE] is a Windows technology which never has been supported on the Mac operating system. The guides you're referring to pertain to Excel for Windows. There is a From File... button in the lower left corner of the dialog window in your screen shot but it will not do what it suggests. It permits embedding only Excel or Word documents... Attempts to use any other file type will be met with a message stating Alert Cannot insert object.
A PDF can be inserted using Insert> Picture which will display the first page of the PDF as an image.