I couldn't find any real information on the apple UK site. According to Apple's troubleshooting though you should unplug the USB from the Express, unplug the Express, plug the Express back in and wait for the green light before pluggin in the USB calbe from the printer. Make sure you are at the latest firmware for the Express and check the manufacturers site for updated drivers or compatibility with the Express.
“Maybe some day somebody will call me "Sir" without adding "You're making a scene"!!”
Not that this is the problem right now, but note that a multi-function printer will be a one function printer (when working) via Airport Express. You won't be scanning wirelessly, although you can hook up directly via USB when you need to.
My guess is that when it's plugged in directly it's using it's own software and drivers, and when in the AE it's maybe it's trying to use generic drivers instead of supplied drivers. With the older Samsung printer I have hooked up here (an ML-1750) I had to install all the drivers manually before it worked properly.
If you go into utilities -> Printer List and click "Add" and select that printer it should show you what driver it's trying to use. You might be able to change the driver in there and solve the problem.
However also makes a good point that it will only be a printer (if you get it working) via the AE so if you use any other functionality on it it might not be worth pursuing.