Not sure what form of "save to PDF" from within a print menu you have in mind, but generally the resulting PDF will have bookmarks (a.k.a. "Table of Contents") only when the PDF is created by the originating document entity which understands where to put the bookmarks. On a Windows PC, using "Save as PDF" from within Chrome print, for example, or "Microsoft Print to PDF" will result in a PDF without any bookmarks.
