I think this depends on the operating system you are running on. In some cases (windows) you might need to install a codec on the OS to get it to read the previews from the raw files. I think it is this one: Nikon | Download center | NEF Codec. On Mac OS X this should be handled by the built-in software as long as your OS is fully updated.
Just updated the El Capitan software to the latest version on my iMac but the problem persists when trying to view the files held on the XQD card. I have installed the newest driver for the XQD card reader. Any further suggestions?
Is your Lightroom fully updated to 6.6.1? This is indeed a bit flaky in Lightroom. I never use that screen to cull and do all my culling inside Lightroom but if you do it is annoying that it doesn't consistently show the larger previews.