That is correct ... preview always displays the first record/page. You should be able to scroll through the records/pages using your record indicator. If you are using form view and your forms are always the same size as your printed pages, then you can use script to take you back to the record you were viewing as:
Set Variable [ $recordNumber; Value:Get ( RecordNumber ) ]
Enter Preview Mode [ do not pause ]
Go to Record/Request/Page [ No dialog ; $recordNumber ]
Enter Preview Mode [ Pause ]
But it will be difficult to land on the same record, particularly if using List View and/or leading parts because Preview is based upon being printed and will vary by printer.