There is a new feature in the latest MDL Tweaker II release that I did not yet point out. This new feature is the event log screen. When there is a warning or an error this will be the place to look for the message.
The image above shows three warnings for missing textures. So whenever your preview seems to miss some textures, have a look at the Event log first to see if there were problems loading them. You can find the Event log in the Window menu.
To be honest, at the moment the warnings for missing textures are the only ones written to the event log, but in the future other messages will be placed here as well. For example about tweaks you have applied or problems that happened when applying them. I do plan to make the event log appear automatically when an error occurs, while you should open it manually for warnings. But that is something for the future, for now if you miss textures, check the log.