Unfortunately, this was Google's decision and not Samsung's: In JellyBean, they removed the ability to store app data into SD card and also they removed support for USB Mass Storage mode and only kept MTP mode.
USB Mass Storage allowed the phone to act as a normal USB stick, letting you browse (and preview) files in it as if it were another folder in your computer. MTP, however, only allows data transfer and not previewing images. The only way to do that would be to browse the phone through Kies or Kies Air, or to copy all files into your computer first.
It sucks, I know... but that's why you can't preview your files anymore and it's not a bug in your phone, it's in general.