That’s a narrow corner you found yourself in. 
Scriptwriting formats are often very much tied to the paper they are traditionally printed on, and so most of the tools surrounding their creation will not be anticipating A5 or any other radical change (A4 is close enough to Letter, thankfully).
So the problem is that this checkbox you found is solely to get the scriptwriting elements into the stylesheet—typically to work with word processor based templates for scriptwriting, and those will of course be on Letter or A4. They don’t get added to the Styles list, or the dropdown you would use to create styles, and they don’t pass through that portion of the compile process, where their formatting can be modified.
But the fact that this is indeed intended to facilitate integration with templates is a clue to how you can get them to work in your favour. You’ll be looking at something more like the workflow described in this post. That one describes the theory, it links to more practical demonstrations. I’m only familiar with the process in LibreOffice, but Word has some way of doing this too.
Basically you’re taking your text, which is marked up with styles, and inserting it into a template that is pre-designed for those styles—meaning the original formatting is kind of meaningless. You can focus less on that side of things with Scrivener, when working this way.
Thus, “Action” or “Dialogue” as styles can be in this template you create, perhaps starting with Scrivener’s output and building up from that, with the metrics tuned to interpret their original design into a smaller format. Since the checkbox styles the text correctly, in theory it should achieve that “30 second post-compile” process I describe in the linked post. I.e. a little up-front work, but once you’ve done that, this is super easy to continue using.
It seems perhaps the only approach that will work for me, in this admittedly rather specific use case, is not to use the Scrivener screenwriting elements, but mark up my scripts with normal styles and then, in the compile/print process map each of these styles to a specific print style with different margins for each page size. I think that would work, but it’s quite a lot of effort to change all the script markup, so I thought I’d ask here before doing that work.
Yeah, that would work too, pushing the formatting workload back into Scrivener. Though if you went that route, you have the solution for migration right in front of you: compile using this checkbox to A4, then copy and paste the styled text the compiler produced back into Scrivener, replacing the scriptwriting sections of the binder. Just make sure to create the styles first, so they link up by name.
A bit of work, going through all of the bits that are this way and selectively inserting them as replacement binder items, but certainly easier than flagging all of that text by hand.
I’d consider the above option first though, at least to test it a bit. It’ll be a lot easier to try out, than migrating to styles, so you’d know pretty quick whether it will work for you or not. As I noted in some of those threads, if I were a rich text writer instead of a Markdown writer, that’s the only way I would use Scrivener anyway—not just to get around little things here or there it doesn’t do well, but so that I can do whatever I want in terms of design; to not be restricted by whatever was put into the compiler.