Specifically, the "sometimes" is what I see as a bug. Always show = fine; never show = fine (or explicit option = fine).
However, as it currently stands, try this:
1. Go to the preview screen of a level; any level will work.
2. Note that the windows / preplaced lemmings in the level preview graphic do not show helper icons (like which direction a window spawns lemmings in).
3. Start the level, then exit before the helper icons disappear.
4. All preview screens will now show helper icons (even if you exit back to the main menu and choose a different level from there).
5. Start another level, this time, wait until the helper icons disappear before exiting.
6. Preview screens no longer show helper icons.
Suspected issue: Whether or not to show all preview icons is set as a propery of the renderer. This property is not correctly cleared when exiting gameplay mode.
This is an extremely minor bug, but it is still a bug so I thought I'd mention it (though I can't say I'd be bothered if it doesn't get fixed).