We discovered, that if not specifying explicitly any page size, by default each sheet's page size is set to HSSFPrintSetup.LETTER_PAPERSIZE.
Well this paper size is the most common type in North America, Bolivia, Colombia, Venezuela, the Philippines and Chile but the common page size in the the rest of the word is the ISO Standard A4.
Our users in Europe complain about always have to change the paper size on each sheet before going to print them.

PROPOSED SOLUTION:
Simply not predefine any default paper size in POI.
In this way the default page size of the selected printer get considered.
If inded a user wants a specific paper size, he always can set it explicitly by using PrintSetup#setPaperSize.
IMHO this would be the more reasonable approach.
Currently to reach this behavior we explicitly set the page size
to the undocumented PAPERSIZE value 0.

WORKAROUND: sheet.getPrintSetup().setPaperSize((short) 0);