Page set up is used to specify page size and orientation. It may also select a different printer than the "default" that has a different printable area (the rectangle that represents how close to the edge of the page that the printer can print). All of that can then update the image being previewed to show how it will print.
To keep the layout from "shifting" from side to side like this for different printers, enter layout mode and use Layout setup... | Printing to specify side margins of at least 0.25 inches (or the metric equivalent). Since these margins are larger than the distance between the edge of the paper and the start of the printable area for almost any printer, you shouldn't see a lateral shift when you specify a different printer.