I can confirm the behavior.
I debugged a little bit and found the following:
The preview-image is an own data node (e.g. Threshold preview), stored in the data storage / shown in the data manager. The QmitkLabelSetWidget::OnVisibleButtonClicked-function only retrieves the current working image and sets its visible-state.

Question: Why is the threshold preview data node invisible in the first place?
Inside mitk::AutoSegmentationWithPreviewTool::ResetPreviewNode auto newPreviewImage = workingImage->Clone(); is called, which "clones" the visibility state of the working image / label set image.
We can explicitly set the visibility here to always show a preview node, regardless of the visibility state of the corresponding label.
I added a differential for this case: D651?vs=on&id=3308#toc

However, I was wondering if cloning is the right thing to do: This will also clone all other - for the current preview irrelevant - layers and labels to the preview node / preview image, which could be avoided. You can verify this by creating a preview node (e.g. using the Threshold tool) and store this node to disk, re-load it and select in in the segmentation plugin view.
This might also be related to T29143#237012.
I updated the differential to solve this problem, but this needs to be discussed: D651?vs=3308&id=3310#toc