Hi,
I noticed this too, and after bit of research I found out that this forum is likely built on the Discourse software.
These previews are only generated if the webpages in question have the correct oEmbed /OpenGraph tags. If not, the link is not displayed in a box. You can see it in the preview though, but it displays an error message like I had in one of my recent posts:
Notice how the link to this post itself does show the box, because of course Discourse has implemented the correct tagging in its own system.
From what I read, there's nothing the forum folk can do about this, it's all at the creators of the external websites to have proper tags listed. Plus given privacy issues it seems that in some cases this is becoming a harder thing to implement (the details elude me :))
Hope this helps,
PJ