I'm glad you've found the tool and methodology to be useful. Regarding the full model printing capabilities, this is a known issue with NORMA, which has a grand total of 4 lines of printing support. Unfortunately, the Microsoft-provided base classes do not have support for multi-diagram printing, and I haven't been able to set time aside to write custom printing code (reflecting on the DSL internals shows about 3000 lines of printing code that I would have to replicate).
Having said that, as part of expanding our tooling to enable better online use and model sharing, I have a web-based diagram viewer that generates an svg-based web page (in modern browsers, GC/FF/IE9) showing either individual or complete diagrams loaded from .orm files. The page can easily be printed to PDF or directly to a printer. I know this isn't quite the same as printing from inside NORMA, but I just can't prioritize the printing within NORMA right now.
I don't have the web viewers publicly posted yet, but would like to remedy this before the end of the year. Eventually, the model viewer will be expanded to include verbalization and other NORMA model browsing features. For now, you just get the diagram, not the ancillary verbalization and property information. Online editing scenarios are also on the horizon.
Unfortunately, Word doesn't interact nicely with SVG out of the box, so you would need to continue with the 'Copy Image' commands to get the WMF formats. The html svg rendering is at least as sharp as NORMA. The only thing I don't currently render is error display.
I had not thought about adding customizable header and footer information to these pages, but it could be done at the html level when the page is generated.
The diagrams can be zoomed using the context menu or the Ctrl-Shift +/-/0 keys (note that browsers use Ctrl +/-/0, but those key bindings caused conflicts in VS). You can also use Ctrl-Shift left/right mouse buttons or ctrl-shift mousewheel for zooming. You can turn on the 'Diagram Management' extension to save diagram zoom information and support diagram reordering.
Text blocks can be added in the diagram using the 'Model Note' tool on the toolbox and the ORM Note Editor tool window, but there is currently no formatting support for this text information. Although I agree formatted text would be nice to have it is a pretty low priority right now.
Hopefully that gives you some idea of where we're headed with this. Please feel free to comment further.