Same problem here but there is a workaround... It's the app/website/viewer you use. I'm on Android, and the official app does this too but I've just downloaded a few others to test. I think they call this functionality deep linking. Basically the app goes and follows the link for you.
On Android the Connect app works. I used Boost before leaving reddit and am signed up on that waiting list.
on Android I use Liftoff and it can load Redgifs in the feed. The problem it has is that you cannot make them full screen, but I hope they add that option soon
So, you're visiting pornlemmy.com using a browser, either on your phone or laptop, and you're not seeing redgifs previews. You've created a user - please go to https://pornlemmy.com/settings and make sure that "Auto expand images" is checked.
You’d have to use the website to take advantage of Alex’s embedding tweaks. Looks like you’re using an app. Either find a better app or use the website.