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I am having the same problem with LR classic 11.4.1 and RAF file from my fuji XT5. No preview available and not possible to import the file into LRC.

Any idea to solve ?

I see three possibilities: A the camera is not putting any preview into your Raw files; B these Raw files do have a preview but due to some incompatibility, this preview cannot be interpreted and displayed e.g. by the OS; C there is some issue specific to Lightroom Classic for what is otherwise a readable preview. 

It is important to note here that the Import screen does not make or use previews saved alongside the Catalog - the settings within LrC controlling that, will not be relevant.

My first suggestion would be to view one of these RAFs in Finder and see whether a preview is visible there, or not. If you are converting to DNG at import, I would do this test for an unconverted RAF straight out of the camera.

If MacOS "Finder" does not show any preview then this will fully explain why the LrC import screen does not show any preview. This aspect works differently with Windows, by the way - where AFAICT it is LrC itself which extracts any import-preview, hence whether the file browser shows a preview (via its own codec) or not, is independent of this.

Another possibility may be that a changed in-camera setting has changed what preview gets included in the first place. One (perhaps left-field) aspect to eliminate could be, if you have recently changed the camera to shoot JPG as AdobeRGB, changing this back to sRGB and see whether viewing in Finder, and whether importing to LrC, are any different.

Also: is there any operation (special file-copy application, pre-processing e.g. denoising or HDR, EXIF manipulation) happening to these RAFs before attempting to import them into LrC?

Please let us know the type of the camera, as well as the exact version of Lightroom Classic you are using (numbers, not "latest" or alike).