I believe that it should be working as the preview basically creates an extract in tde or hyper format depending on your Tableau Desktop version, see article below.
Have you tried reinstalling Tableau Desktop. If it doesn't work, please try to right click on the Tableau Prep shortcut and select run as an administrator.
If it doesn't work, I suggest opening a case with our support team.
Has this been resolved ? I am using Tableau Desktop v10.2