in general, the DLP solution is the ICAP server. In ICAP, the server tells the client what the client should do. To figure this out, the client asks the server with a so called OPTIONS request. The server then replies with an OPTIONS response. Here is an example from our nDLP Prevent solution:
McAepfelchen:tmp michaelschneider$ telnet 10.150.97.230 1344
Connected to 10.150.97.230.
Escape character is '^]'.
OPTIONS icap://10.150.97.230:1344/reqmod ICAP/1.0
ICAP/1.0 200 OK
Date: Thu, 01 Sep 2011 13:14:12 GMT
Service: Reconnex iGuard ICAP Server 1.0
X-Include: X-Client-IP, X-Server-IP, X-Authenticated-User
From this we learn that the ICAP server needs to be set to send a 0 preview to the client to disable preview. MWG is fully ICAP compliant ad therefore will respect what the servers tells it.