No. You're not downloading from servers, you're downloading from people like yourself who are sharing the files. You can preview files but only as much as you have downloaded. Generally that requires at least 5% or more before you can preview it properly. Obviously 5% of a song is only going to be about 12 seconds. But also keep in mind that LW does not necessarily download sequentially, but may downld a bit from the beginning, a bit in the middle, a bit near the end, etc. So you'd probably only be able to preview as much of the beginning that had been downloaded.

Also, all files that are previewed create preview files in the incomplete folder. Those should be deleted at some stage. A better way is to go to the incomplete folder in the Library window & select the file & press Launch. As that does not create preview files.