Yes, you can check the opt out link as well in the Delivery Preview.
It won't be opting out the recipient selected in actual, adobe handles it internally.
Moreover to this, you can check all the links present in the content (source html) in the delivery during delivery preview.
There is a question in the Campaign exam which says what can be validated in delivery preview (Choose three options)
b. Spam results
c. Opt-out link
d. Mirror page
Personalization can be through selecting a specific recipient in the preview mode
Spam Results through Spam Assassins
Opt-out link and Mirror Page both are testable too then what is the odd one out of four?
I think you may have forgot the Options to this Que.
The correct options were :
1. Spam Score
3. Client Renderings
Out of these the correct answer is 3. Client Renderings
If you were not having Client Renderings as options in your que, then the most possible answer is the "Spam Score" out of the options given by you. Because Spam Score is not the Out Of The Box functionality, to check Spam Score you have to first install "spamAssasin".