The SaveAs PDF feature in Rhino 5 is really the same as using the print command and selecting a PDF printer as the destination for the print job. The functionality was primarily added because some users did not discover that they could save a PDF this way.
For any of the PDF saving to work in Rhino 5, you must have a PDF printer driver installed. Here's a quick list of drivers that would work.
This is just a short list, many more drivers are available with a quick google search