As one more data point, the Arc browser also has the Preview-like functionality, and always just switches to the main Arc window before showing the preview, even when using Stage Manager. I’ve never found it jarring at all, and no more jarring than opening in a tab instead of a preview. But previews prevent tabs from clogging things up unnecessarily.
EDIT: Arc has the other little nicety that after you open an external link in a preview window, and you close that window, it switches back to the app you came from. Makes for a very nice workflow. But I'm not using Arc anymore - abandoned and Chrome-based!