Leigh-
For me, that portion of the printing process works as before, in previous versions. The dialogue box opens with the previous media profile selected. I know of no setting that specifies this behavior or the one you are experiencing. Odd.
I have my own anomaly, though. In the HP printer's settings accessed through the PS print window, when I choose sheet or roll paper settings, I can change from one to the other, but the first print is attempted with the previous setting. I cancel the print, after the printer tells me that it needs the other type of media, and then tell Photosphop to print it again without changing any settings, and it selects the correct sheet or roll media choice. It may quite likely be a HP problem, but it just showed up when I switched to CS5. Like you, it is a small interface annoyance that is quite aggravating.
You didn't say which platform you are on, but FWIW, I'm on Mac 10.6.3.