The default installation for SAS 9 on Windows assumes a locale of EN_US. In this locale, A4 paper doesn't exist. To fix the problem, you need to edit your SAS configuration. By default, the main SAS configuration file is <SASROOT>SASV9.CFG, which in turn points to <SASROOT>\nls\en\SASV9.CFG. (It may point to another file on your system if system uses a non-English language locale.) Open this second file.
Scroll down to the line that reads -LOCALE "en_US" and change it to -LOCALE "en_GB".
Save your changes and restart SAS. The PAPERSIZE option will now work correctly.
This is a synopsis of the response to SAS log number UK1037497.