Hi,
this is due to the wrong using of Outputs.
Open VST Connections > Outputs, and set the Stereo Out to Not Connected, please. Then open Studio tab, and Add a Monitor 1 bus. Route the Monitor 1 to the same physical output, where the Stereo Out was before (to your main speakers).
Now, you can hear the sound of previews. All previews are routed thru the Monitor 1 bus, same as the Main output. Monitor 1 should be always used as a main output in Cubase Pro and Nuendo.
Btw: Monitor 1 has one more advantage: Studio connections is global, not project related. So it will not be overwritten by opening any project.
I hope, this works for you.