Okay, I figured out how to fix this to get the behavior I want.

If you look at the code for CPrintPreviewState:

struct CPrintPreviewState    // Print Preview context/state
{
    ...
    BOOL (CALLBACK* lpfnCloseProc)(CFrameWnd* pFrameWnd);
    ...
};

you can see there's a function that's supposed to get called when you close print preview. This is _AfxPreviewCloseProc(). I think it should be called if you click Close Preview on the toolbar or the application's Close button. However, it apparently is only called if you click Close Preview. If you click Close, the application closes instead.

When the main frame's OnSetPreviewMode() is called you can save the preview state:

void CMainFrame::OnSetPreviewMode(BOOL bPreview, CPrintPreviewState* pState)
{
    m_bPrintPreviewMode = bPreview;

    // Show or hide the command bars, docking panes, etc.
}

and then in OnClose() call the preview close procedure rather than the normal code to close the application:

void CMainFrame::OnClose()
{
    if (m_bPrintPreviewMode)
    {
        if (m_pPrintPreviewState->lpfnCloseProc != NULL)
        {
            (*m_pPrintPreviewState->lpfnCloseProc)(this);
        }

        CFrameWnd::OnClose();
    }
}

Now when the program is in print preview mode, clicking Close will close print preview rather than closing the entire application.

I hope somebody finds this useful.

I've noticed that in my software clicking the Close button in the upper-right corner of the window while in print preview closes the entire application rather than just closing pring preview. I checked the Codejock sample and don't understand what I'm seeing.