Give this on e a shot:

Sub SetPrintAreaAllSheets()
For SheetIndex = 1 To ActiveWorkbook.Sheets.Count
vPrintrange = Sheets(SheetIndex).Cells(1, 1).CurrentRegion.Address
Sheets(SheetIndex).PageSetup.PrintArea = vPrintrange
Next SheetIndex
End Sub

I tried CurrentRegion but if you have lots of blank space in your region you get
the wrong answers.

I opted for the following: Thanks for the starting point

Sub SetPrintAreaAllSheets()
Dim vPrintrange As String
ReturnHome = ActiveSheet.Name 'To find your way home
For SheetIndex = 1 To ActiveWorkbook.Sheets.Count
Worksheets(SheetIndex).Select 'Have to select the sheet to set the
print area
LastCell = Sheets(SheetIndex).Cells.SpecialCells(xlLastCell).Address
'Find last cell
vPrintrange = Sheets(SheetIndex).Range(Range("A1"),
Range(LastCell)).Address 'Set your range
Sheets(SheetIndex).PageSetup.PrintArea = vPrintrange 'Set the print
range
Next SheetIndex'Next Tab
Worksheets(ReturnHome).Select ' Return to the sheet you started from
End Sub

A cleaner version is attainable since the range  is explicitly called by the
worksheet index. With the worksheet references, you don't have to 'change' to
each worksheet so you are saving process cycles from the screen refreshes that
would have taken place. You could also set ScreenUpdating to false & then back
to True; does the same thing! Anyway see if this version makes sense:

Sub SetPrintAreaAllSheets3()

Dim vPrintrange As String

For SheetIndex = 1 To ActiveWorkbook.Sheets.Count

vPrintrange = "A1:" & Sheets(SheetIndex).Cells.SpecialCells(xlLastCell).Address

Sheets(SheetIndex).PageSetup.PrintArea = vPrintrange 'Set the print  range

Next SheetIndex

End Sub