I have just done a test, and it works.
According to the pdf, you are selecting 'aligned to drawing (entire part)' option. NX Help documentation describes the following option as:
Displays all PMI objects in the part with annotation planes parallel to the drawing sheet when the view is added to the drawing.
Just with pdf, it is not possible to determine, what was the annotation plane for your PMI dimensions. Also, I don't see which standard view are you placing on the drawing. Let's say, that you are placing Isometric view. I am quite sure, that you did not define the datum plane for placing those PMIs. So, the annotation plane is almost sure not parallel to drawing sheet (looking at the Isometric view).
Before you are placing the PMIs, define the annotation plane.
For example, if you have the model oriented in the Isometric View, create a datum plane with 'View' option. Now, place your PMIs,oriented to this new plane. Now, when you are creating a drawing with Isometric view, you will have all the PMIs shown. Because your annotation plane is parallel to the drawing sheet,
But, here is better way of placing the PMIs.
First, activate the model view in which you want to place PMIs. I guess, that PMIs in Top view will not be shown in Right view. That way, you will have nice and clean model, where you get with model views just those PMIs, that are relevant for this model view.
And if you need some PMIs also in other views, you can simply copy/paste them to those views.
That way, you will also place the PMIs on the drawing much easier.