Answers
Short answer: Excel exports only the active sheet to PDF by default. To get the whole workbook, either open the Save As dialog, click Options, and choose “Entire workbook,” or Ctrl-click the sheet tabs you want before exporting so they are all selected. Either way Excel then writes every chosen sheet into one PDF. If you export a stack of workbooks like this every week, a batch tool renders every sheet of every workbook in one pass instead.
Remember to ungroup the sheets afterward (right-click a tab, “Ungroup Sheets”), because a grouped selection changes what edits apply to.
Excel’s export follows the print selection, and the default print selection is the active sheet. Nothing is broken; it is just the default. The two methods above change the selection to the whole workbook. If some sheets are hidden, unhide them first, because hidden sheets are skipped.
If “export the whole workbook to PDF” is a run you repeat every week or month, and especially if it is a folder of similar workbooks, the manual dialog gets tedious. A batch tool points at the folder, renders every sheet of every workbook in one pass, and writes a run log so you can see each file made it. For that recurring case, CrazySmartPDF is free to run on your own files (up to 5 files per run), and its native Windows apps keep the file on your machine.
Why does Excel save only the first sheet as a PDF? Because the default print selection is the active sheet. Use Options, Entire workbook in the Save As dialog, or Ctrl-click the tabs you want, to include all sheets.
How do I export several specific sheets but not all of them? Ctrl-click just those sheet tabs to select them, then export. Only the selected tabs go into the PDF. Ungroup the sheets afterward.
Do the sheets each get their own page? Each sheet starts on a new page, and a sheet that spans multiple pages keeps its own pages. If you need each worksheet laid out cleanly on its own page, that is a layout question covered separately.