Hi Peter,
Welcome to the Prismic community!
So as you said Previews only work for logged in Prismic users.
They function by using browser cookies. The Prismic dashboard generates the cookies in your browser and passes in in your browser's tabs to the correct place, this is why only the current user can see it and you don't see it in another browser.
When you create a shareable link you create a link that can fetch the cookie and allow any users with that link to see the Preview in their browser.
If you are seeing unpublished content then you likely need to load the preview script in your 404 or update your linkresolver as described here:
Does this clarify things for you?
Thanks.