Visio has a problem with duplex printing.
If you ask for multiple copies while duplex printing, you only get one copy. This is rather annoying, but the problem is not with duplex printing. The issue is with the collate option. You can duplex print a Visio document and request mutiple copies and your document will print the correct number of pages, only if you do not select collate. Of course, the pile of paper generated is useless. What is printed on the front and back of the first piece of paper is two copies of page 1.
There is a knowledge based article http://support.microsoft.com/kb/924114 but that indicates that the issue is that collate is not checked. The only workable solution is to set the copies to 1. Sounds like a Henry Ford answer. You can get any colour you like, as long as it is black. You can print as many copies as you like as long as the number of copies is 1.
Update: This is fixed in Visio 2010 (almost). Though the printing is correct, it appears that you get an extra page if you duplex a document with an odd number of pages. An even number of pages prints fine with no extra page.