Thota,
That may explain why, I have not used 2003 but have read enough of Brian's book on the topic to note there have been quite a few changes in 2005.
In 2005 under the "Design/Printer Setup" menu that shows when you right mouse click the report, it does not seem to matter whether you have the no printer option ticked. The rest of the printer setup properties are still accessable, hence you can still change the default paper settings for your report and save them.
Regards
Kim