Sorry, didn't see an i or i^2 after the Pro/E2000 so thought you were asking about Pro/E2001. Did they ever release a Pro/E2000 (no i or i^2)?
Anyway with 2000i^2 the preview pane was dependent on a .bmp file that was stored separate from the part file. And, you guessed it, there's a config.pro option you have to set to enable saving the preview .bmp Don't have 2000i^2 loaded anymore but a search in the #utilities#options dialog box for bmp should reveal what it is. Not sure if this was also true with 2000i