Sorry about the delay on this. HiiClient will try to use preferred server credentials. In addition to the preview vs. not preview option you also have a difference that it looks like you are running one in Windows and the other in WinPE. In Windows if the currently logged on user already has rights to the share where the HII driver database is stored there will be no attempt to authenticate. Obviously in WinPE there is no rights to that share, so we attempt to authenticate using the credentials stored in the Preferred Server setup.
That's the first thing I'd check.