Correct.
The Page Preview feature is indeed not available in Experience Space.
This feature is available in Classic UI (which is considered Legacy) based upon the way of rendering content that was mainly used at that point in time.
Nowadays, the trend is to move away from traditional HTML rendering using templates, and rendering is done at a later point in time during Content Delivery phase or in the browser.
The Preview feature will still be available in Classic UI and there is no plan to add in Experience Space at the moment.