I can add pictures and music to the storyboard. The slideshow pictures will not play in the preview panel. The music associated with the slideshow does play.
When I open my PhotoStory on CD & DVD 9 Deluxe, and I click on a photo (jpeg), I see that photo in the preview monitor, before I load it or drag it into the arrangement (storyboard, timeline) area. If I drag in a selection of photos (lasso selection) then I get the first photo of that segment to display.
I am assuming this does not happen for you; therefore I am wondering what format your pictures are in, what camera might have snapped these. Is there one you can send, to see if I can load it and view it? I can also share one of mine, so you can see if the above works for you with it...
Otherwise, I do not see any reason as to why it does not work by default.