@karl we've found a minor err in our example project's settings, an export default in the wrapRootElement files. Changing this should make the preview work.
Change the code in gatsby-browser.js and gatsby-ssr.js to this:
import * as React from 'react'
import { PreviewStoreProvider } from 'gatsby-source-prismic'
export const wrapRootElement = ({ element }) => (
<PreviewStoreProvider initialEnabled={true}>{element}</PreviewStoreProvider>
)