That's intentional actually: since 1.0 beta 3 and this particular commit...
Printing – PIE now removes itself from all elements when the page is printed. Besides avoiding many rendering problems, this also allows the user’s printing preferences regarding backgrounds to be honored and avoid wasting ink.
And it usually makes sense, ain't it? But yes, clients are different - and if they really really really want this feature, you'll have to either downgrade to PIE 1.0 beta 2 (the easiest way, but apparently riddled with downsides) - or build your custom version of PIE.htc
that doesn't have sources/OnPrint.js
included.