This is now implemented:
I wanted the visual feedback, so I went ahead and created a userscript for the time being that hooks into the preview code to render the tags. It also tries to address this style issue by adding in a new style rule on meta sites.
The previewed tags will also show the new tag bubbles so you can verify you linked to the correct tag. If you're linking to a main site tag from a meta though, there's currently this bug to contend with, which might make that a little less effective at the moment.
Here's a screenshot of some of different tags being rendered in the preview box on various metas:
From the post you linked to...
This is done on post submission*, and for now isn't reflected in the editor preview.