Hi Roberto,
This is normal behavior. Most multiscale analysis algorithms don't fully support partial previews. The main reason lies in the natural scale dependency of these algorithms. If you define a preview that does not include a good representation of large-scale image structures, the result may not be what you'll get when you apply the same process to the whole image, and in some cases the differences can be substantial.
In the MultiscaleLinearTransform and MultiscaleMedianTransform tools, we have implemented a special cache system that precomputes the necessary transforms on-demand for the whole parent image, and reuses cached data dynamically under the hood. This allows precise partial previsualization of these processes, including real-time previews.
Unfortunately, a similar implementation is impractical (for now) for the HDRMultiscaleTransform process. To avoid this problem completely with HDRMT, define full previews (= previews covering their whole parent images). To minimize this problem with partial previews, try to define relatively large previews including representative bright and dark image features.