Which application are you attempting to print Statement Groups for, Adagio Ledger or Adagio FX? And which version is in use?

If you open any of the statements you want to print, you should see a toolbar button related to the Landscape (or Portrait) orientation of the report, and this is the setting used by Print Statement Groups.

I tested using Adagio Ledger 8.0D and a statement group with a mix of reports formatted with Portrait and Landscape options, and they all printed with the desired orientation.

Have you changed anything recently, such as installing upgrades or putting in a new printer or printer driver? If you open and print preview a statement meant to be formatted landscape, rather than from printing a statement group, is the orientation correct? Perhaps all that is needed it to verify the settings and re-save it.