If you select all the worksheets in your workbook (rightclick on one worksheet
tab and choose Select All Sheets), then do your file|print (or print Preview
until you're happy), does it work?
You can even set the footer on all sheets when you have the worksheets grouped.
(Make sure you ungroup the worksheets when you're done.)
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Or you could do
file|print
Print what: check "entire workbook"
Both seemed to work ok for me.