I get previews in 2010...
Live preview of existing styles before I select them definitely work.
When I'm creating a custom PivotTable style, the "Preview" image in the Create (modify) PivotTable Quick style works.
What is won't do is show in the real PivotTable as you're building it. The new style actually isn't even applied to your table until you select it (after exiting the creation wizard), and any modification won't apply until you exit the modification dialog.