Hello,
This is actually due to a security change from an update a while ago.
In the document I shared with you above, Microsoft talked about how to override or unblock this behavior:
If you are confident in the safety of both the file and its source, you may remove the internet security block.
To remove the block for a downloaded file, right-click the file in File Explorer, select Properties, and then select Unblock. Note: The change might not take effect immediately but will be effective after the next login. Could this be the case for you, you didn't restart since you made the change?
If you have already restarted but still cannot get the preview to work, you said this is a computer at work. It is a work assigned device, right? In that case, check with work IT, there can be organization group policy specifically to block this as well.