Can't someone answer this? We're having the same issue!
As the warning message describes, go to page is not supported in PDF... that's just the way it is.
But, for PDF, you can accomplish the same navigation of "go to page" by having the action of your button go to either a destination, text anchor, or bookmark. Each of these would be the individual pages of document.
we tried that too - created objects with states, etc... that interactivity isn't working either
Multi-state objects are for html5 and swf export, not for PDF.
The first issue of having a button go to a page will definitely work, albeit that you will need to create a destination, text anchor or bookmark first, then set the action of button to go to appropriate destination.
Depending on the effect you are trying to accomplish with the multi-state object, you may be able to create a similar effect with show/hide buttons to be used with PDF export.
When you choose an action, look carefully at the list of possible actions (shown below):
The top group (Go to Destination thru Video) work with Interactive PDF, EPUB, and SWF.
The second group (headed SWF/EPUB Only) DON'T work with interactive PDF
The third group (headed PDF Only) do work with Interactive PDF but not with SWF and EPUB.
As to why that is, you need to learn more about the different paths to interactivity. Not all routes work with all kinds of interactivity. I highly recommend Sandee Cohen and Diane Burns' book Digital Publishing with InDesign CC which explains it all.