The cogwheel at the bottom of Reference Previews popups appears to be broken on the Wikimedia live wikis right now. Clicking it does nothing.
Looks like the issue exists only for logged in users. It's supposed to be a weblink to Special:Preferences#mw-prefsection-rendering-reading.
Note the codebase fundamentally changed since the WMDE-TechWish team wrote the feature.
QA Results - Prod