FrostWire presents you with files you can download from two types of surces:
1. BitTorrent (with many seeds, a lot faster for big files & great for file packages)
2. Clioud (from YouTube or Soudcloud getting files directly from their servers)
When you see the 'Play' button, that means that most likely your search result comes from a Cloud source and preview is possible.
When you don't see it, that means that most likely your search result comes from a BitTorrent source and at this time preview is not possible (although we are working on it).