I was able to fix my issue by removing and reinstalling Lacerte DMS PDF printer drivers - both the DMS PDF Printer (which I found was missing from my list of available printers) and also Lacerte Tax PDF 4.0 drivers.  After removing them I reinstalled them by navigating into the Lacerte program and finding C:\Lacerte\2019tax\lacertepdf_450_tool.exe.  Right click that, choose "run as administrator" and wait for the program to run (about a minute). When it's done its thing, press any key to continue.  

I have the same problem - I've been a Lacerte user literally forever and I'm used to printing to the printer and a copy I select at set-up also goes to DMS at the same time.  Instead, the DMS copy is printing to a pdf file outside DMS.  The copies I've selected to go to the printer are being printed fine.  I've reviewed every "print to DMS" setting I can find, but to top it all off, the pdf files being created are not segmented by form like the ones that are created in DMS.  So when I open the "Complete Return" pdf file created, it is just a series of pages printed in a row, and to find a form I need to scroll through and find it.  Very frustrated.