Hmmmm? I am guessing you missed a fine detail on how to insert the PDF file. What platform, MacOS or Windows?
I normally Right Click the container field in Browse mode which gives you Insert PDF as an option in the Pop up Menu.
There are two sides to that coin. One, as described by Jim, is the insertion option selected from the Insert menu or your "right click" menu. The other is the data formatting selected for your container field object on your layout. The Settings for this are located on very bottom of the inspector's Data Tab and must be set to "optimize for interactive content". And this will not work if the container field is located in the row of a portal.