[Zubersoft]

If you use Share->Export Files, there is an option to join every song file into one PDF. Hopefully you found that. If you just mean you would like that functionality to be easier to access, adding an explicit "Setlist to PDF" option would only save you a could of taps at best, and requires almost the same workflow, so I'm not sure if it's necessary.

Geoff - Long press the setlist, tap the three dots at the top right and select "Generate Song List".