I was not able to figure out how to get Vuescan to embed a preview image but, was able to use Adobe's DNG Converter (free tool for Mac and Win) to add a preview image by pointing the DNG converter tool at the folder of my Vuescan DNGs and had it "convert". Which in this case was really just adding a preview image. So, now PM shows me the DNG file the way we would expect.
Hope that helps. If you figured out a way of having Vuescan add a preview I would love to hear about it.
Cheers