DO doesn't show a PDF preview when MS Powertools (File Explorer add-ons) PDF preview handler is enabled) but works in File Explorer. (Windows 10 latest build).
When I disable the option in Powertools, Microsoft PDF preview handler will be used and it works.
In my office the same problem but Acrobat Reader is installed (from company) and this will be used instead of MS PDF preview.
Why does MS Powertools preview work in Explorer but not in DO?
The PowerToys PDF preview handler is blocked by default within Opus as it is not fit for purpose. There are many far better PDF preview handlers, including one built into Windows these days.
If you really want to use the PowerToys one, you can override the default by going to Preferences / Viewer / Plugins and configuring the ActiveX + Preview + Office + Web plugin.
That can also be used to select an alternative preview handler, which is what I recommend instead.