I get this all the time. If you are using only one layout, I would suggest focusing (ie clicking) on the layout window first before hitting F5. Usually, when this is done, every F5 press will result in a preview even though you've been focused on the event sheet.
Also note that there are 2 other ways of running a preview. If you go the Projects Bar, you will see the top most folder: RMB and choose Run project (or alternatively Debug project).
Lastly, in the Ribbon on the main GUI panel, there is a Home tab > Run layout button there as well.