OK, I think I found the problem. Apparently, the program defaults to thinking you only want to preview clips in the Trimmer window, so that’s where the output is routed. Unfortunately, unless you double-click on the clip (which opens it in the Trimmer window) you would never know this and would be left as we were wondering where your clip is being displayed. If you click on the Trimmer tab and look for the icon in the upper right that says “Show Video Monitor” when you hover over it, then click it so it is off, the preview will play on your Preview window as it should.
Thanks go to Ed Troxel’s great video site, JetDV.