Yes, I've run into the same issue (also within the last few days). The problem is that on a Mac it really DOES just "print to PDF." Office products for PCs (which I you have to use if you want to do this, apparently) actually do SAVE to PDF, so the hyperlinks work. This doesn't just go for M$ products, though - this is how Mac OS X works when it prints to a PDF. (There was/is probably some sort of proprietary thing about it, which is how Apple has gotten away with "saving" PDFs for so long but it took awhile on the other side.
For PCs there's a plug-in you have to install into the M$ Office applications, "save as PDF or XPS," but I don't think the same plug-in exists for M$ Office for the Mac. Too bad, too, since I was looking for a good solution but it doesn't appear that there is one for Office for Mac - unless there's someone out there who has figured something out?
