Can you provide a link to a thread where this happened to you?
I just tried a random discussion with nine replies (http://forums.adobe.com/thread/569346?tstart=0), click on View print preview in the Actions box, and saw all nine replies. I clicked File > Print (in Firefox/Windows) and it printed out all nine replies on five pages.
I tried another thread (http://forums.adobe.com/thread/621489?tstart=0) using a different account in IE/Windows with the same correct results (all messages printed across four pages).
Thanks. I did not realize there was a print preview or view as pdf in the Actions box. I tried your test by opening the thread in print preview and then printed from the browser. It worked as stated. HOWEVER, printing the thread directly from the browser printed only the first page, not the entire thread.
So, maybe there is some problem with my browser and/or system (latest Firefox on Windows XP SP3), but at least you provided me with a way to do what I want.