Any more recessed lights that weren't turned on in the photos?

Yes, can lights throughout.

Sage would be a great color for this space. Light, warm and interesting.

Sherwin Williams has this color called Kilim Beige it would be perfect. Try a sample before you buy paint samples only cost $6 to $9 each. I think you will like it.

Think about all the colors in the space, when you are selecting paint color. Paint can only do so much. You have some reds in your ottoman and platform rocker and throw. You may wish to bring in more reds in some additional throw pillows, and pick up some other colors in the ottoman for another accent color, such as green or the greenish golds - hard to tell on a monitor exactly what those other tones are. Brown and black on the sofas are good backdrops, but aren't going to carry the room to the next level on their own.
If you want to stay with a neutral, SW Kilim beige works in a lot of spaces, as do Benjamin Moore's very popular neutrals. They have a Timeless Neutrals brochure, which you can use to put next to the sectional and see which ones the fabric likes. Many Benjamin Moore stores have paint color consultants come in at times. You can bring in armcovers, pillows, art, carpeting, tile, and get in-store help.
Make sure the color you go with is deep enough to give you some contrast with the trim, and light enough that you see furniture and your artwork up against it. Beyond that, how deep or how light you go on the walls depends on what feels good to you, as long as you have enough lighting.
Think about your ceiling color as well. The readymade "ceiling white" colors across all brands tend to be a blue white, leaning toward gray. Benjamin Moore has a tintable ceiling paint which would allow you to use a warmer more comfortable light color on the ceiling, which would be better than giving over all the ceiling acreage to a blue based white, when you don't have a lot of white in the room. Options for the soffit include painting the sides and underside all in the ceiling color, or all in the wall color. The top crown and base of the column should be the same as your baseboard and door trim color. If the ceiling is not as white as the trim, the crown on the post, and other white trim, will be crisp accents.