I am not sure what is supposed to happen if you have a hyperlink, and click on it in Preview mode.  In my case, it loads the page referenced into the editor, and then you lose control - i.e., Normal and HTML buttons don't do anything.

 

I don't know what to suggest for what to show when clicking a hyperlink in Preview mode - showing the page is OK I guess - as long as you are not losing control and losing the editor contents.

 

Perhaps an alert saying "You clicked on a link to ...." with an OK button?

 

I am referring to the Preview mode via the button panel bottom left, not the preview panel from clicking on the preview button in the menu...