Update from the Cx [11/29]: Yes, Printer redirection works only on the AVD client and not the web version. We figured our issue was specific to the inbuilt app which was not connecting to the printer rather prompts to save as PDF.
Can you please check if the resolution shared in this post helps. It recommends uninstalling the Remote Desktop client from the local PC and downloading a 'new' RDP file from this web client: https://rdweb.wvd.microsoft.com/arm/webclient/index.html
You can also enable the Remote Desktop Virtual Printer in your remote session. When you print to this printer, a PDF file of your print job will be generated for you to download and print on your local device. To enable the Remote Desktop Virtual Printer, follow the steps here.
Related post : https://techcommunity.microsoft.com/t5/azure-virtual-desktop/printing-in-wvd/m-p/2682397/highlight/true#M7739
Let me know the results and I can further investigate. Thanks.