Yes, a preview will never show exactly what your rendered material will look like. I understand this is true in Blender as well from posts I have seen about this in the past. A quick small (400x400) render will tell you much more... 
Edit: I tested all of my example files with YafaRay 3.4.4 and they are all working with the current version of the Wings3D YafaRay plugin. Background Alpha transparency is the only feature that is not working and that has been broken for a long time... 
oort
Edit: I tested all of my example files with YafaRay 3.4.4 and they are all working with the current version of the Wings3D YafaRay plugin. Background Alpha transparency is the only feature that is not working and that has been broken for a long time...
oort