Hi FocusedPhoto,
Thanks for the question. It sounds like your new printer might have changed the options that are available to you. I'm not really sure I understand the method that you are describing since I've never seen an option to generate a pdf from the Page Setup button. However, you may be on a windows machine and therefore, the options might be slightly different than what I use.
In any case, you should have two options for generating PDF's. The first is probably the most reliable, but the second is a bit more convenient (though I'm less certain of if it works on a Windows machine).
The first method is to choose the "Print To: JPEG File" in the Print Job area of the right hand side-bar in the Print Module. Then, once you have everything set up, you will select the "Print to File..." button at the bottom. This will generate individual jpeg files for each of the contact sheet pages. You can then use Adobe Acrobat to combine all of the jpegs into a single pdf file.
The second method is to set up as if you were going to make a physical print. To do so, you would choose the "Print To: Printer" in the Print Job area of the right hand side-bar in the Print Module. Then, you would select the "Printer..." button at the bottom (not the "Print" button). This will take you to the operating system's print dialogue box, at which point you should have an option to save a pdf version of the file (see the attached screenshot). As I mentioned before, I'm not entirely sure that you have the same options on a Windows machine, but you should have the option to select "PDF" as a printer in order to generate a pdf.
NOTE: the trouble with this method is that either Lightroom or the printer driver, or both, will want to manage the color of the generated pdf document, so you have to be sure to select sRGB as the profile (a profile that you would ABSOLUTELY NOT use when printing)... otherwise, you will likely see very strange shifts in color in the generated pdf.
I hope that helps, but please let me know if you have any other issues or questions.
Damon