I have Thumbnails, Full Size and Compatibility Always checked.
This has been like this for a few versions of PS.
If you use Bridge, instead of the Finder, you won't have that problem.
In my experience, if you don't see a preview in the Finder it might also depend on how the image was saved and with which kind of preview.
Turn the visibility of those layers off and I am pretty sure that you will then see the image in the Finder.
That's how it was here, anyway.
As I test I went through my image and turned off the first layer I came to in Overlay mode.
Saved and had the same preview result.
I then turned that back on but deleted every alpha channel. Bingo, the preview now shows the file in its entirety.
So as a further test I went back and just deleted the first alpha channel (1 of 7). Now the preview shows only in the areas of what is the new first alpha channel (previously #2).
I guess this is good to know that if for some reason a Finder preview of a PSD file is necessary deletion of all alpha channels needs to happen. Another tidbit of extraneous info to store away!