I have seen many, many people waste a lot of time wondering why their query shows no data when they press Ctrl Enter to “run” it (when in fact they have “Previewed” it). I find it very counterintuitive to press Ctrl Enter and get no data, when there might in fact be data not shown (if only they press “Shift Ctrl Enter”).
I understand that you might want Preview to be the default to avoid overloading the server (though I would question this choice too). However, if you do this, please could you make it really obvious that the user is looking at “Preview” results, and that the results might not only be “limited” but also be empty, when in fact there might be actual results out there if they do “Run” instead?
And for reference I find the tiny text “Job: Preview” not a very obvious place to look, especially for a new user. Even the large text “No Results in Preview Sample” is not obvious if you don’t read it all and know what “Preview” means. Perhaps some warning text like “Some results may be present but not shown as this is a Preview” or something obvious.