This is a bug in Mylio 3.7 right now. For some reason, previews are not being generated when the Originals are only stored on a connected Vault (USB or NAS). If you are able to use a Custom Device Sync Policy, you can tell Mylio to sync the Originals missing Previews locally to your MacBook Pro and the Previews should generate. Once the Previews are generated they should sync to the other devices and you can turn the Custom Sync Policy off/adjust it to your liking.
We know finding these images may be difficult. In version 3.8, we will have a search term to make it easier to find images in your catalog that are “Orange” or waiting to sync similar to the “show media waiting to sync” option we have now.