Live Update --> Second button in the timeline's top icon row. Some OpenGL stuff also only updates on release, if the graphics card is not powerful enough, so you may wish to use adaptive resolution mode then...
> Am I missing something? <
I think you will continue to have issues if you expect After Effects to behave like any other application. As Myl. noted, Live Update is available on some effects factored with the limitations of your processor or card. Even as integrated as Adobe's suite is, animating video is entirely different from applying changes to Photoshop documents.
I thoroughly despise Photoshop and the biggest reason is that I cannot get my head wrapped around selection of pixels. AE is object-based (sort of). I understand objects and layers. I don't get pixels.
Hope you enjoy learning After Effects. It is an order of magnitude more interesting and mind bogling that Phoyoshop.
Welcome to After Effects! I started in (and still love) Photoshop, but got moved into motion graphics. Now it's my full-time job.
An understanding of working with layers, adjustment layers, masking, blending modes etc. that you've received from Photoshop will help you in understanding some of AE's features, but don't make the mistake of thinking it's "just like Photoshop with a timeline."
I highly suggest Todd Kopriva's post on begginning in AE:
He offers many useful links to various tutorials including one to VideoCopilot.net's Basic AE tutes: http://www.videocopilot.net/basic/
Another useful thing on AE Learning Resources is here: