Are you trying to define a report for continuous paper, like receipt printing?
Did you install printer drivers for the receipt printer? Then in page setup you should be able to also choose endless paper, so no page height limitiation.
It could help to create a label instead of a report (LBX instead of FRX and simple CREATE LABEL instead of CREATE REPORT), but on my current Windows 10 system there's not much of a difference regarding the page setup of label vs report, it all depends on printer driver abilities.
What you could try is create a new label with the wizard, that'll ask you for the label paper you use and has a list of pretty much all standard label papers including continuous roll paper, I think in a list to pick from.