In Setup - Layout options, it gives me the option for Concert (9x12) but when I go to the Print tab and select Page setup - paper size, I don’t see the option for Concert (9x12).

The options shown in Print mode are the paper sizes reported as being supported by your printer. I’m not sure whether you could add this as a custom paper size for your printer, in which case I think it should then appear.

My printer is an Epson WF-7510. It prints up to 13x19". I’ve printed 9x12 from Sibelius and Finale with no problems.
Another thing. When I go to the top menu bar and select File-Print… Nothing happens.

File > Print simply takes you to Print mode.

Do you see a different set of paper sizes available listed in the right-hand list in Print mode versus that the OS Print dialog accessed from the bottom left-hand corner of the window?

Notice there is a special Dorico Print button in the lower righthand corner of the screen. It took me a while to find it too.

So, in this case, the right had side print setup does not show 9x12 so do I use the print from the lower left hand side where I set it to 9x12 to produce my output?

Yes I do. On the left I can set 9x12