If you are previewing a book (Modified Register), make sure that you have a check mark in the "Include photos" box. If you have done this, also click the Photos button to see what size the photos are. I think the default size is 1" x 1". I don't check "Reserve space for missing photos", but you can preview with and without the check mark. I can think of no other reason why the photos would not appear in the preview.
When printing to file, your default word processor for RTF files also comes into play, which can cause other problems, depending how the WP handles RTF.