Email unsubscribes have to be passed through Sendgrid and the [unsubscribe] tag would be associated with additional data in this instance.
When you preview an email template, this is solely to be used for checking the Email HTML, formatting, etc., and not the functionality of unsubscribing as this will fail by design.
This fails because nothing is being passed through Sendgrid, resulting in the [unsubscribe] tag not being associated with anything on their end.
If you are trying to test an unsubscribe link, the ideal way to test this is to create a campaign, attach the Email Template that you wish to use, and prior to sending it out, send yourself the test email. On any campaign, from Step 2, scroll all the way down to the bottom of the page and find the "Test User Email" field.
See also: