On the face of it mine also seems to have this problem but I think it is because I don't understand how the font selection for the preview window works. However, I have not spent much time trying to figure it out as the default Times Roman serif (or what looks like Times Roman serif) is just fine by me. So the following is not meant as an explanation but just as a lead in for someone to perhaps fully explain.
It seems to me that it works maybe something like this.
If there is no font-family in the books stylesheet then the font selected in the Editor's options for the preview window are used - so the selection in the Editor's preferences appear to work.
If there is a font-family: serif;, for example, in the stylesheet then the selection for serif in the Editor's preferences are used in the preview window for the serif cases in the book. So it appears to work for them.
If there is a font-family: Times New Roman, serif;, for example in the stylesheet then the style in the book is used for them in the preview window instead of the font in the Editor's preferences. Now, on first blush I assumed that whatever was set in the Editor's preferences was overriding so was what one got regardless of the book's styles, and if one has that belief then it appears that if there is a font declared in the book (even if not embedded) that the Editor's preferences are not working because the Editor's style is not being applied.
I hope that makes sense. As I said I just mean this as a lead in to someone giving a correct and clearer explanation by either rubbishing this
or clarifying this. However, getting to the nub of the original question, if the OP is under the same belief that I was, then its appearing not to work is because the book they are editing has a font declared in the stylesheet and that takes priority. If there is no font-family in the stylesheet the Editor's preferences then "appear to work".