From @Idrisz19 at https://www.mediawiki.org/wiki/Topic:Uydg6ohti3ha4679

Previews don't render hotlinked images and images using HTML img tags. This has caused confusion on wikis with $wgAllowImageTag and $wgEnableImageWhitelist set to true. See https://phabricator.miraheze.org/T4316#82239.

For Wikimedia Foundation-supported wikis, it presumably makes more sense to generate an error message.