You have to open the message and not just view it in the preview bottom pane. Then you have to first go to Mail's menu item "View" and in the drop-down select "Messages-Long Headers". Then print.
Sorry, I wasn't clear: I don't want the expanded header information, I want page headers & footers eg name of sender, name of recipient, time, date, page n of n etc: the usual things that you can select to print in the corners of the page.