Hi Julie,
Printing directly to a printer is not supported at this time with Dynamics 365 for Financials. I have seen this with another SaaS / cloud based Accounting system as well.
I speculate that this is because Dynamics 365 is accessed by users on many different types of operating systems and versions, and to avoid getting into print / driver related issues, Microsoft has opted to go the PDF route given its universal availability and support.
I hope this helps. If my response has answered your question, please take a moment to verify by clicking Yes next to "Did this answer your question?"