Thanks Max, yes you are right, I can reproduce this, the previews do not get rendered with the steps above. It seems to be caused by Vray for Rhino. If I set my current renderer back to Rhino then I get the preview rendered. I still get mixed results with files that have a lot of materials though. I will test a bit more.
Rhino has these advanced settings where one can turn off the OpenGL or and Rendered previews. It is also possible to turn off the cache. I know some other render plugins have similar settings. At least Bella Render does have. I do not know about VRay, but maybe they have a setting that is turned off?
One can also clear the cache with the TestClearRdkCaches command. It might be useful to clean the cache when making tests?