The links in Preview mode should not be opened at all or at least opened automatically in a new window, so that user could preserve its content.

Possible resolution is to invoke the setTargetsForPreview method on the OnClientLoad event of the editor:

<telerik:RadEditor runat="server" ID="RadEditor1"
	 EditModes="Preview" OnClientLoad="OnClientLoad">
	<Content>
		<a href="http://www.telerik.com">Link</a>
	</Content>
</telerik:RadEditor>

<script type="text/javascript">
	function OnClientLoad(editor, args) {
		Telerik.Web.UI.Editor.Utils.setTargetsForPreview(editor);
	}
</script>