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Note that replies to reviews are emails, so would be stored in your SentMail folder in your email.
Note also that in a review notification email, there is a Reply to [reviewer's handle] box between the quoted review and the rating and other information. There's also an email reply form underneath everything.
The Reply to box does not have a preview function, but does indicate whether the box has been used to reply to the review.
The Preview button is for the email reply form. Using the email reply form does not count in the Review tab system as a reply to the review.
Hope that helps.