Question: The report is lost from preview (TfrxPreview) after exporting the report frxReport1.Export(frxPDFExport1). What should be done ?

Answer:

Do  this:
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frxPreview1.Lock;
frxReport1.Export(frxPDFExport1);
frxPreview1.UnLock;

 Or this :

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frxPreview1.Export(frxPDFExport1);