What is the difference between paper size and page margins in Word?

There is no difference, both are presets for how much content you can fit on a page.
Paper size refers to the outside area of the page that can be made bigger or smaller to fit content, while page margins are the areas of the document where text is aligned.
Paper size refers to the size of the paper you will be printing your document on, while page margins refer to the outside area of a page that can be made bigger or smaller to fit content.
Paper size refers to the orientation of the page—for example, landscape or portrait—while page margins refer to the outside area of a page that can be made bigger or smaller to fit content.