I have not found a workaround to this, and have come across this limitation often. In my experience, it looks like Excel applies the correct settings to the first sheet, but the default to all the other ones.

The best solution I have ever come up with is to change the default printer settings on your system, then print. Or, another (much more cumbersome way) sometimes in one of my past jobs, we would copy-as-picture (shown as printed) and created a PowerPoint file with each sheet - it was the bane of my existence then, and I do not recommend it unless necessary (for example if you want other PPT elements on each page besides the Excel graphic).

On Thursday, October 12, 2006 at 11:22:01 AM UTC-4, Publisher Lyn wrote:
We publish an annual publication of detailed tables. Each section of the book
is created in a single Excel workbook - each page of the book is one Excel
sheet. We have tried selecting all sheets and formatting the printer to print
double sided, but each sheet still prints on a separate page. Also, when
trying to number the pages, you can select all sheets, select the first
number, but the same number shows up on all sheets. Is this a limitation of
Excel?