Hello,
When editing the slide, you'll see all the objects that are on that slide. When you drag the playhead you'll see only the objects that are active at that point, but when you let the playhead all objects will be there again. Sorry that is the way CP is designed. This dragging is not creating a real preview, which needs a temporary creation of a SWF. That is only possible with real preview modes (F4, F8, F12). Captivate is not a video application, like Camtasia or AfterEffects. It has advantages to have all the objects visible like for aligning purposes; forget about the pure video where manipulating different objects is not at all easy. If you want to align the start of an object timeline with the playhead, use CTRL-L. Perhaps my blog post about the timeline will help you, it is aimed at starters in Captivate:
TinyTimelineTidbits
Lilybiri