This was my experience as well. I have battled with this printing issue for so long I have more or less given up on trying to print an ER diagram from SSMS. I've arranged my tables whilst showing the page breaks, but as previously stated, once you clicked "Print" all of your timely work was tossed out because SSMS thought it could do a better job.
Kurt Zimmerman
Kurt W. Zimmerman
SR DBA
Lefrak Organization
New York, NY
http://www.linkedin.com/in/kurtwzimmerman