Odd and no, I've never seen this. When you print or do anything outside of PS with layers, a totally flattened set of data must be sent.
You may want to test this again with various layer opacity just be make sure it is behaving as it should, but of course, the 'fix' is to flatten, save as and print.
Be useful to know: What OS and version, what version of PS, what printer, is the driver up to date. Also, save the Layered image as a TIFF (which fully supports layers), try printing that.
PSD, useless file format IMHO.