With a little creative configuration you can get around it! Review this post and you (almost) know what to do. Instead of "proxy mode" you use "listener" mode, let's say port 88. Configure the target address to 127.0.0.1 Port 80. Once set you can connect to your HTTP preview from "outside" on port 88. This can be the iPhone emulator on your OS/X host talking to the Domino Designer Web in your Windows VM or any mobile phone talking to your local real or virtual machine. A little step for a developer... Of course: local preview doesn't magically support authentication (I tried really hard hacking the local names.nsf), so you need a real server to test that one.
As usual YMMV