When you click on the Preview
button of a blog post or a news item Sitefinity searches the page where you have placed the module's widget and then renders the item on its details page. In order to preview the item properly you need to make sure that you have dropped the module's widget to a page and that the widget displays the items that you would like to preview. Please also make sure that the page is published.
You may check the video
which I have recorded for your convenience demonstrating the above.
Do you want to have your say in the Sitefinity development roadmap? Do you want to know when a feature you requested is added or when a bug fixed? Explore the Telerik Sitefinity CMS Ideas&Feedback Portal
and vote to affect the priority of the items