When you click on File, Save As PDF, the Print Dialog opens and selects the Adobe PDF print technology by default. This gives you the ability to create a PDF from PrintShop Mail without having to rely on a separate PDF print such as Adobe Acrobat.
You can also save as PDF by selecting Print or Print To Web and then changing the Print Technology to Adobe PDF or Adobe PDF/VT-1. In both those print technologies, only the PDF Settings (aka joboptions) drop-down is displayed. If you need to fine-tune your PDF options, you will need to use Adobe Distiller to create a joboptions file. See Adobe PDF.