Are eps files the only ones which can viewed as a preview on the screen? My debugging output from the Mac version displays this for gif and pdf files:
lyx-2.0.1/src/support/InsetGraphics.cpp(145): Token: 'filename' lyx-2.0.1/src/support/InsetGraphics.cpp(145): Token: 'display' lyx-2.0.1/src/support/InsetGraphics.cpp(145): Token: 'scale' lyx-2.0.1/src/support/InsetGraphics.cpp(145): Token: '\end_inset' lyx-2.0.1/src/support/FileName.cpp(941): Recognised Fileformat: gif lyx-2.0.1/src/support/FileName.cpp(941): Recognised Fileformat: gif lyx-2.0.1/src/support/filetools.cpp(990): [readBB_from_PSFile] no(e)ps-format lyx-2.0.1/src/frontends/qt4/GuiGraphics.cpp(346): [bb_Changed set to true] lyx-2.0.1/src/frontends/qt4/GuiGraphics.cpp(346): [bb_Changed set to true] lyx-2.0.1/src/frontends/qt4/GuiGraphics.cpp(346): [bb_Changed set to true] lyx-2.0.1/src/frontends/qt4/GuiGraphics.cpp(346): [bb_Changed set to true] lyx-2.0.1/src/support/FileName.cpp(941): Recognised Fileformat: pdf lyx-2.0.1/src/support/FileName.cpp(941): Recognised Fileformat: pdf lyx-2.0.1/src/support/filetools.cpp(990): [readBB_from_PSFile] no(e)ps-format yx-2.0.1/src/insets/InsetGraphicsParams.cpp(266): BB_from_File: .... But the generated PDF looks fine.