After installing some extra packages and enabling image/video preview in Dolphin configuration, now I can see the preview.
But when I select a video file and click on the play button (just under the thumbnail in the bar), nothing happens, the video in not shown in the preview box.
That's not very significant, I can play the video opening it with mpv player, but I was able to do that in KDE4 and it was very comfortable to me. Why is not working in Plasma?