Just as a follow-up to the above, I had the same issue even though my order status options were configured properly. I was able to resolve the issue by de-selecting the order statuses, re-selecting them, and then saving again.
Personally I don’t think an option is needed. I think by default any sorting or filtering on the product edit page table should be carried through when pressing the print button.
What is the reasoning behind this? I believe it used to be possible until around version 2.3. Does this mean that no Woocommerce plugins will be able to provide this functionality either?