I'm using the same letter I've used for the last five years, and the same set up options (in "Control Which Letters Print") as I've used the last 3-4 years (whenever PS added all the options.) The Privacy Statement Letter prints with the return, which is set up in the same area.
Actually I just ran a test and the Standard Client Letter doesn't print from within the return, Print Selected Forms, Letters Only either. It processes as if it's printing, but nothing is sent to the printer, and if I do a print preview nothing shows up.
I *can* print it if I View the letter from within the return, and print from the view.