You can choose this in Print Selected Forms, and you'll get the federal K-1 with the letter collated for each, but it wont include the state K-1s, you have to manually add them. 

You may want to add your vote for this enhancement over in the Idea Exchange

https://proconnect.intuit.com/community/proseries-tax-idea-exchange/schedule-k-1-package-needed-in-p...

I'm suffering from the same issue described above and wondering if there might be a possible work around.

Is it possible to insert a specific form into a client letter in proseries?

At present I know that letters can be formatted to insert a client's name, the date, the tax due, etc. If you could write a script that inserts the federal and state k1 forms, into the k1 recipient letter, the problem might be solved. Anyone think this is possible?