I believe this is due to the nature of the construct 3 preview mechanisms, once exported and installed/hosted, they work.
I figured this might be the case so I exported to Windows and no video showed (Set to autoplay). Unfortunately I can't check for errors on such an export.
I'll test again just in case I missed something.
However, if it as you mention, this should at the very least be stated in the manual (unless I missed its presence), and at best, some sort of workaround should be available so that an individual doesn't have to constantly export their project just to see how their videos are setup.