In VEGAS Pro, the quality of the preview shown in the preview window is adjusted automatically when you play a video in the timeline. When you stop playback, the quality goes back to its original setting.

This is a feature of VEGAS Pro. When you preview a video, VEGAS Pro automatically identifies the best preview quality to use to give you optimal playback.  

If you want the preview quality to stay the same, you can disable this feature.

To do this, right-click the preview window and remove the checkmark next to "Adjust Size and Quality for Optimal Playback".