I don't have experience on anything higher than Excel 2000 so I won't know all the new stuff like the Printer Message.
However regarding to Printer Message, this is controls by the Printer Properties especially if you are using the Network Printing...go to the Printers from the START menu on the window bar, Select correct printer and click right button and then choose Properties...look for correct tab (mine is NDPS Notification) and de-tick Printer.
Application.Display alert only control pop-up messages that came from active software i.e. Excel, Word etc and does not contol other 'Object' i.e Printer Message.