I figured that since it is a standard dialog that everyone has seen numerous times in other applications that its function is obvious and its appearance is expected.
Do you really think it deserves mention?
Yes -- a brief mention of what happens when File>Print is selected the
first time in a session with the program would be useful for completeness' sake.
I'm more accustomed to seeing not a Page Setup dialog, but rather a Print dialog
containing a Page Setup button, appear when File>Print is selected. (Of course it only takes one or two uses of PM's Print command in the File menu to become accustomed to PM's own sequence of events in this case.)
It would be useful, come to think of it, to have a "Page Setup..." button within the Print dialog. That way, if Page Setup had been used once already and therefore selecting Print opens the Print dialog -- but if the user needs to change page-setup options -- it could be done from the Print dialog alone.