Traditional (La)TeX has no direct contact with printing on a physical paper.
\documentclass[a4paper]{book}
and
\documentclass{book}% US Letter
set up the width of the the text area and its offset from a notional reference pint 1in in from the top left corner of the page. But it would be the job of the .dvi driver to insert commands and perhaps further offset the text, for printing at a physical paper size.
pdfTeX combines the roles of TeX and the driver so has additional parameters \pdfpageheight and \pdfpagewidth that tell a .pdf reader what size to show the page boundaries. But by default LaTeX does not set these. (They are set by several packages including geometry and hyperref). So many tools in the TeX distribution will need a default page layout (almost always A4 or Letter) however for historical compatibility reasons the default behaviour for most people that have A4 printers is that the default physical paper size is A4 but the default text width and margins for latex are set for US Letter. LaTeX does not give a way to change that default, Documents not aimed at US Letter should use an explicit option so that they remain portable.
Apart from the screenshot of the menu, this applies to any TeX distribution not just MikTeX (in fact I personally use TeX Live but the issues are the same).