@M K
I've seen this mentioned a few times. However, PGO doesn't export directly to PDF, you'd need an intermediate step. Current (v4.0.897) options under 'Group/Export messages' are:

The most likely there would be multiple HTML files; load them in to a browser and use 'Print to PDF' (or equivalent). PGO's own 'Print message' option only prints one message at a time, and 'Export to Folder' only creates a .pg4 file (SQLite, I think).