There seems to be little user pressure for this but I added a couple of Votes (yours and Bill’s according to Wish List - Preview button for 'process' plug-ins) to Missing features - Audacity Support .
Sometimes lack of Nyquist preview can be useful as a way to encourage a built-in effect to be provided, but that is not a reason to avoid doing it.
What are the technical obstacles - have you asked Roger? Would the Preview be less responsive than preview of other types of effects?
Gale