The Preview option refers to a Depth of Field Preview... When you shoot with a small aperture, the camera doesn't close the aperture down until you fire the shutter... so consequently, you cannot see what the depth of field is for that aperture setting... Assigning the function button to "Preview" basically allows you to close the aperture down to the selected setting without firing the camera so you can "see" what/how much the depth of field is going to change...
Here's a test so you can see it working...
Set your aperture to its smallest setting... highest number
Focus on something about 8' away that has some distance to the back of the subject...
When you press the Preview function/button... You'll notice everything in front of, and in back of your subject is probably in-focus...
Now set your aperture to its largest setting... smallest number
Focus on your subject again...
Press your Preview... You'll now notice that the background is out of focus while your subject is In-focus...
Depending on which setting your aperture is set to, you can control the amount of depth of field (and that Bokeh, which is that blurry out-of-focus look that photographers try to strive for in certain situations.)