Yep, the example of Figure 2 shows only a static PGM-index on a sorted array.
Insertion and deletions are discussed in Section 3 "Dynamic PGM-index" and experimented in Section 7.3.
The Dynamic PGM-index is open-source too: you can find the implementation at https://github.com/gvinciguerra/PGM-index/blob/master/includ... and the documentation at https://pgm.di.unipi.it/docs/cpp-reference/#classpgm_1_1_dyn...