As MrClifford said, you won't be able to preview your mobile ad in the Preview.
You will need to export an APK (debug works for me) or an Xcode Project to test your game on an actual / emulated device.
As the manual says : "It is important that when you're developing and testing your application you use test adverts. Viewing real adverts during your testing may result in your Admob account being suspended or closed!"
So don't forget to setup your Application ID for Android and / or iOS, your Publisher ID, your Provacy policy URL and to check "Test mode" when you are testing your ads.
You can access the properties by clicking the MobileAdbert in your Project panel and checking them in your Properties panel.