after clicking on the dark square that is displayed instead of the preview, you are prompted to open the video in a new tab as if you were opening another site.

Defo different for me. When I click it, no matter whether viewed in the post or from the community, it just opens the video like in the screenshot. It only opens in a new tab when I click on the tiny "v.redd.it" under the title, but I guess that's meant to happen (?)

The question is, why it works that way for me but not on your end. It might be because we're on different instances (I'm on lemmy.world) and there are sometimes differences between the various UI's, including functionality. It might be a browser/desktop/mobile issue. It could even be an anti-ad program on your device blocking the preview because it seems like a pop-up, or something in the settings that isn't quite right, or a programming mistake that prevents the video preview from showing up in certain apps. Hard to say without looking at the code =/

It might be a good idea to file a bug report and/or request the "missing" feature so a supporter can take a look at the issue. Provided it isn't on their to-do-list already, of course.