hi Hu Po,
this option is working as it should work as per your screenshots.
that option, Keep Columns Together means that an individual column will not span the horizontal page line when checked.
for example, the screenshot below shows the 6th column not overlapping / spanning the page line.
when the option is unchecked, this is the behaviour, where the horizontal page line is over top of the 6th column.
in the export to pdf, there are no horizontal pages so cross-tabs are printed to the next vertical page instead. this is the default behaviour and is not a bug.
-jamie