I opened a Direct! link in a multiplayer match, and the preview didn't pause the currently playing music.
If you pause the music while the preview is playing, it will unpause once the preview is complete.

1. Host/ a multiplayer match
2. Click beatmap link in IRC

Confirming. When you click a beatmap link in chat, osu!direct menu pops up and starts playing the preview. It doesn't pause the track you're currently listening to.

just tested this while recording the sound http://puu.sh/1Tsdv