This is true. The page orientation setting affects the page size/orientation in PDF.
The forms authoring is designed so you can create either Web or PDF, or a form that is used for both. If you change the width of the form (also in form setup) this will change the width of the form so you can take advantage of the Landscape width in the PDF. Changing this width affects both the PDF and the web form so it is not changed automatically by your changing the PDF page orientation. Increasing the width of the form (Form Width) will be scaled to fit the PDF page size (width of the PDF page size selected).
One note, when designing your form for PDF make sure to use the "Page View" view mode from the view selector in the menu or the bottom right corner of the Design tab. In this view the page breaks that will be used in PDF are shown and you can insert explicit page breaks of your own to get the layout you desire.
Thanks for the tips! I hadn't realized you can insert page breaks - I'd been inserting blank text fields...