Just an update with some more information on this...
I'm only experiencing the issue when I'm on my Mac Mini using dual monitors. I've had a chance to play with Orion on my laptop recently, using the built-in screen and an additional external monitor used as a separate display. In that case, the previews appear on both the built-in laptop screen, and in windows on the external monitor as I would expect.
I haven't had a chance to try multiple external monitors with the laptop yet but I'll report back if I have a chance to try that and let you know what I find.