Preview and message are sent separately. My intuition tells me the preview is used to track user activity. I wish I could contact the author to know more about how WhatsApp tracks activity
They cache the preview for subsequent messages containing the same link. For example, if a link is making the rounds and gets sent 200k times in an hour, they don't call the URL 200k times to build the preview, as that's a huge waste of resources on both sides, with a huge chance that the servers containing the link gets DDOSed