Probably because the sun is a "light" object, the code goes to hide the bounding box etc from it. But then when told to do preview window the lighting is ignoring that fact and using the lighting objects. (since i'm pretty sure when you say disable objects you probably mean on objects tab).
Easy thing to not notice, its impossible to tell the sun even has moving guides usually.
But a semi bug non the less that planetside should maybe look into what is the preferred option in this odd case.
