Initial state, preview icon links to previewUrl on the frontend without a snapshot UUUID:

Once a change is made, the preview link is hidden because the snapshot is not saved:

Once the snapshot is saved, the preview link appears, this time with the URL including the customize_snapshot_uuid:

Once published, the initial state is restored:

Note that plugins can override/rewrite the URL used that is used for the frontend preview link (such as pointing to another domain for a headless WP instance) by defining a validate method like so:

wp.customize.Snapshots.frontendPreviewUrl.validate = function( url ) {
    var urlParser = document.createElement( 'a' );
    urlParser.href = url;
    urlParser.hostname = 'some-other-frontend.example.com';
    return urlParser.href;
};