[jannes]

Link previews are generated server-side, I think.

The app sends a request to a Facebook API for every link that you send/receive. Usually this returns the little image + text snippet that you see in the app, but obviously this could also return a message that the link is considered dangerous.

As a site owner you can probably see a request from a Facebook bot when a link to your site is shared on WhatsApp. (not sure how long they cache this)