The answer is that some pdf options are not available in Preview. Adobe has a number of annotation and graphics and even file linking options which do not carry through to Preview. In other words, Preview is not 100% compatible with Adobe Acrobat, Preview is less capable, although it can generally handle probably 99% of what people do in pdf format. But there is a small collection of things that do not come through properly with Preview.
One obvious example is forms. While this may not be the situation you are asking about, note that Adobe Acrobat can create forms that one can fill out with Acrobat Reader. These forms have cells and one can go through them and enter text or information into those cells with Adobe's software. Sometimes the forms even include boxes to be checked or highlighted and so forth, all possible with a click using Adobe's own software. However Preview often is unable to enter the data on those forms. Again, the reason is that for certain somewhat advanced options, Preview does not have every capability that Adobe Acrobat (or Acrobat reader) has.
For simple stuff, however, Preview generally works well.