Yes, you're right, though you can write your own print rendering extension (apparently). Other than that use the PDF export. The version coming with SQL Server 2005 may well have one-click printing as a feature; the current version was added as something of an afterthought. Some features are of course interactive (document maps, drill-down and -through), but I agree, this is a big omission and will make it difficult to sell to end users.

As regards page orientation, just make sure you set the page width and height accordingly in the report properties.