At present, if a section or article being edited does not contain the <references /> tag, then footnotes will not show up in page preview. This means you have to commit the edit, then examine the new saved page and re-edit instead.
Enhancement request -- if the page being rendered for preview contains cite.php footnotes, AND there is no <references /> tag in the previewed text that will cause footnotes to be displayed, then the preview code adds a horizontal line followed by <references /> after the existing text, so that users can see their proposed footnotes too.