These dots, referred to as an ellipsis, always mean that there are additional options. For example when you see "Print..." it is indicating that there will be another step before there is anything sent to the printer.
Taken from The Microsoft UX Guidlines:
Design concepts Using ellipses
While command buttons are used for immediate actions, more information might be needed to perform the
action. Indicate a command that needs additional information (including confirmation) by adding an ellipsis at
the end of the button label.
In this example, the Print... command displays a Print dialog box to gather more information.
By contrast, in this example the Print command prints a single copy of a document to the default printer without
any further user interaction.
Proper use of ellipses is important to indicate that users can make further choices before performing the
action, or even cancel the action entirely. The visual cue offered by an ellipsis allows users to explore your
software without fear.
This doesn’t mean you should use an ellipsis whenever an action displays another window—only when
additional information is required to perform the action. Consequently, any command button whose implicit
verb is to “show another window” doesn’t take an ellipsis, such as with the commands About, Advanced, Help
(or any other command linking to a Help topic), Options, Properties, or Settings.
Generally, ellipses are used in user interfaces to indicate incompleteness. Commands that show other windows
aren’t incomplete—they must display another window and additional information isn’t needed to perform their
action. This approach eliminates screen clutter in situations where ellipses have little value.