Preview only works for incomplete files, not for 100% downloaded files. If you wish the file to show in the Share library folder (it is there, simply does not show that in LW program), then you will need to share it to show & play. Right click the file & choose share. Other option is to go to LW's menu bar, Tools > Options > Sharing & at bottom tick option to Share downloads immediately.

BTW to check if I am right, select the Saved Files Folder & press Explore button. You will find all files in Saved files folder & Shared folder will be there.