No, the software won't print the opened files to PDF. It uses the default printing feature and the printer to output the content on paper. However, you can simply install a virtual printer and save as PDF directly.
There is an application called CutePDR Writer that does this. Download from there: http://www.cutepdf.com/Products/CutePDF/writer.asp
Download and install the engine, then start GerbMagic and open a GBR file. Press the Print icon and choose the CutePDF Writer engine instead. As soon as the process completes, you will be prompted to save the PDF file and that's it.