Well, that would be nice if that were how it worked. Have you tried it?
But, while I can find numerous "Download/print return" links--including the exact one shown in the support article you provided a link to, none of them offer the options of printing with the worksheets or not, or of printing just Fed or just state or both. They all just go straight into downloading the filed returns only Fed + state PDF, no options offered.
I did find a workaround: Go into "Amend". (It says you can't amend at this time.) But then the Tax Tools | Print center option which does allow the PDF to be tailored to Fed or State, with or without the backup, not filed, data, appears and allows what I was looking for.
This seems like an Online problem: the "Download/print return" links should all bring up the same options selection dialog as the "Tax Tools | Print Center" menu brings up.
