Note there are separate customer defaults for how to treat the "legacy" widths (thin/thick/normal) to the new 9 (or whatever) line widths
Customer defaults -> Gateway -> Line widths -> conversion tab
Production: NX10.0.3.5 MP5 + patch/TC11.2
Apparently I've turned into a gearhead
Show Widths or setting Monochrome on or off will not change any exported output. When setting custom widths Custom Thin, Custom Normal and Custom Thick control legacy line widths the remaining custom widths define the new 9 widths. Once legacy curves are edited in newer versions they are replaced with the corresponding width from one of the new 9 widths. Obviously changing the physical line width will affect the exported line width. Lines in NX are displayed using pixels - widths 1-3 are displayed using 1 pixel, 4-6 are 2 pixels and 7-9 are 3 pixes. This can be changed in the Customer Defaults or the Visualization Preferences. Since curves are exported as CGM when a PDF is created, use the CGM Viewer on the Advanced Plot dialog to see how geometry in your graphics display is going to be exported. Review this thread for instructions and a test part file. I don't believe there should be any difference between NX8.5 and NX11 (as the new line widths were introduced in NX8.5).
You only mention 3 widths in your post, yet you should be seeing 12 definitions when you select the Define Widths button in the Export PDF dialog I'd have thought (or in the customer defaults - PDF export section). Attached is what I have set - which effectively equates to only three distinct plotted outputs for all of the possible linewidths (legacy and new). You've said it's an inch drawing template you are playing with, but then you mention metric widths so I'm confused if the 0.02, 0.03 & 0.04 plotting width settings are inch or metric values. If inch, then not sure what to offer, if metric then I expect that's the problem.
Yes these were OOTB settings for everything. The legacy (traditional) curves were created in NX7.5 using the OOTB values for that version, I have not touched these in NX11, so NX still sees them as legacy curves and uses the Custom Thin, Normal and Thick width settings for these curves. I doub't that you'll see any differences between inch and metric files.
I just printed the display (File > Print) and the widths were printed per "Customer Defaults > Gateway > Printing > General" (see attached - though this was a scan of the print as I can't print to PDF). The legacy curves printed at different scale factors (1, 2 and 3). Of the 9 new lines, the first 4 plotted at a scale factor of 1, the next two at a scale factor of 2 and the remaining three at a scale factor of 3.
The Scale Factors in the Customer Defaults are different between NX8.5 and NX11 (in NX8.5 they incremented by 1 for each of the 9 widths. Since NX10 the factors are the same for every couple of widths.
One of my team mentioned that they had a similar issue reported - that all lines were the same width when printing. Hitting the Reset icon on the top right of the Print dialog resolved their issue.