You have different settings for line weights in the part, when printing, when plotting, when exporting CGM and when exporting PDFs.
The settings are available in the actual dialog.
These should all be pre-defined in the customer defaults. ( they already are but you might want to check the settings)
You do not mention what NX version you are using.
File - Print is somewhat a screendump, -even if you send it on to a pdf printer.
OLDER versions of NX ONLY used a single line weight in File - Print.
( Note, only the File Print is/(Or was?) a screendump. the other methods are not. NX10 does print pretty nice.)
Regards,
Tomas