Yes, it's by design. If the links are enabled, the client click any link for in the preview window, the current page will be transferred to destination URL.
>>Is there a way to enable links in the preview window? Thanks.
It's better to create your own preview window to handle this.
Demo:
asp.net Chat http://cutesoft.net/ASP.NET+Chat/default.aspx
Web Messenger: http://cutesoft.net/Web-Messenger/default.aspx
asp.net wysiwyg editor: http://cutesoft.net/ASP.NET+WYSIWYG+Editor/default.aspx
asp wysiwyg html editor: http://cutesoft.net/ASP
asp.net Image Gallery: http://cutesoft.net/ASP.NET+Image+Gallery/default.aspx
Live Support: http://cutesoft.net/live-support/default.aspx