In addition to their Mercury Transmit plug-in, AJA also installs an After Effects-specific plug-in called AJA Preview (Window menu > AJA Preview). Having both enabled at the same time will cause them to fight over the output image. Only use one or the other.
The differences between these two paths to video preview are subtle, but a simplified way to think about it is performance vs. accuracy. The AJA Preview plug-in can be faster, because it has access to optimizations in the AJA drivers that Mercury Transmit does not. Mercury Transmit is more accurate, because it has access to better data about the composition that AJA Preview does not. Again, this is a very simplified comparison.
There is a known issue with the current AJA drivers that cause the image on the video preview monitor to not update during playback when using Mercury Transmit. This problem only affects AJA, not other Mercury Transmit devices. We are working with AJA on this issue.
AJA recommends that you use their AJA Preview plug-in instead of Mercury Transmit, to avoid this bug and to take advantage of their performance optimizations.
Regarding performance, any video preview method in After Effects is affected by the processing overhead of pushing out frames. Video preview happens concurrently with RAM preview playback, so a machine with poor specifications may not be able to provide real-time playback at the same time as video preview. The bandwidth of the frames you are pushing also make a difference; frame size frame rate, color depth, and color management all affect the amount of memory required per-frame, and therefore the processing power required to push those frames out. You can moderate the bandwidth of the frames used during preview and playback through the normal controls in the Composition and Preview panels (resolution, frame rate, skip frames, etc.).
Finally, the "RAM preview needs 2 or more frames" warning is often indicative that the machine is low on available RAM, ie., After Effects doesn't have enough space in RAM to write more that one frame. Without more information about your machine and what you're rendering, it's hard to diagnose this issue. Video preview consumes a small amount of additional RAM, but not enough that I would expect it to cause this warning message unless you were already low on memory. Do make sure to install the 2014.1 updates for After Effects, as a memory leak bug with audio scrubbing was fixed, which could cause this warning message to occur more frequently than it should.