A "pitch preview" is any device that will tell you what note your theremin is playing in the absence of any externally audible sound. It can be visual (using a tuning device) or audio (using an earbud). The only theremin I know of that has a built-in preview (both audio and visual) is the Moog Ethervox, but any theremin can be fairly easily adapted to accommodate one.
I have found that visual previews are too slow and by the time your eye has told your brain what's going on, you've missed your cue.
I don't know how common the use of the preview is among performing thereminists but its value to the performer depends entirely on the kind of music being played. Free music, FX, avant garde and experimental musicians probably would not benefit from a preview because the kind of music they are playing is flexible enough for them not to need it.
I have heard the use of a preview referred to as "cheating". If there were some way, through practice and hard work, to get to a level of skill on the theremin where you could intuitively know where the notes were in the playing arc, then I would say perhaps the pitch preview is cheating. The fact is, no amount of practice or skill will ever help you find your note when you step up "cold" to the theremin. One way or another, you are going to have to orient yourself before you bring your volume up. You can do this publicly for all to hear (it is clearly identifiable on Clara Rockmore's recordings) or you can do it privately through the use of a preview.
Lev Termen built a device into some of his custom instruments that consisted of a small neon bulb that would glow whenever the thereminist's pitch hand was positioned to play the note 'A' within the playing arc. This is a kind of preview and it had the added advantage of being useful for giving other musicians a correct pitch by which they could tune their instruments. A=440 has only been in existence since 1939, so Lev's preview was probably adjusted slightly lower to the 'A' of his day.
Use of a pitch preview is not something a newcomer to the theremin has to decide on right away. I think beginners should play for at least a few months and develop essential skills before experimenting with previews of any kind.