Must be in the type of file being annotated.
Okay - that makes sense.
Possible workaround:
Use the rectangular selection tool to grab a portion of the PDF that includes the part you really want, Copy to clipboard.
Close that view.
Then use the "New from Clipboard" command in Preview's File menu to create a new doc with the section previously grabbed. Then see if the Lasso selection tool is available.
Edit --
OK, that works, but with an additional step. Doing the "New from Clipboard" choice to make a new doc using the rectangularly selected portion resulted in a PDF-based doc - no Lasso tool available. The solution was to do a Save As within Preview for the new doc, choosing PNG from the type menu.