Do you have a second sound card in your computer set as the default for system sounds? If so, the preview audio might be going there. The preview and capture tools seem to use the Windows default sound device rather than the one you select in Vegas. In the end, this was what motivated me to yank my SB Audigy and set my Layla as the default sound device once and for all.
Preview is by default routed to the same audio port as the Master bus. You can change the preview routing by showing the preview bus on the mixer (right click on the mixer anywhere to show the preview bus.) You then route the preview bus to the hardware port you which to use.