Hi,
You need to press that Set Camera button every time you move the new camera to a new position if you want to render from it. Let's say you start with the render camera being viewed in the preview. When ever you move in the preview the render camera "disconnects" from the preview and changes to the perspective camera, which is one of the cameras built in to the preview. To give the render camera the current position of the perspective camera (when you want to render from that viewpoint for example) you need to click the Set Camera button.
Regards,
Jo