Yeah, you’ve got to render the transition. I had the same problem – I didn’t understand all the ins and outs of preview vs. rendered. Do a “full” render on that section. Go to your drop down, “modify”, “render selection”, “full”. Then select the transition (or a little before and a little after it via in and out points on your timeline), “render selection”, and you’re done. Should work – but, might not.
Nick