SysKit Insights cannot add certain (SharePoint Online) pages when using the web application.
Page Performance via Web App
The problem appears when the user is using the web application to add a site for which he/she does not have permission. In most cases, this will happen with a SPO (SharePoint Online) site. To be more precise, the problem lies with the authentication process for the given site. If you already have the required permissions, eg. for a on-premise site, you should be able to add the given site.
You should always use the SysKit Insights desktop application when adding new pages for Page Performance monitoring.