I'm sure others will disagree. But, in my opinion, that's probably the least important feature to look for in a camera, as today's viewfinders are not good enough to distinguish finer differences in depth of field anyway.
IOW, I'd look at it as a "me too" feature that buyers sometimes look at in features lists, that doesn't have much practical importance in real world shooting.
I own multiple camera models that have it. Yet, I can't recall the last time I've used it. ;-)
When comparing features, pay attention to the ones you're more likely to use, versus the ones you'll probably never use that won't make any difference in real world use anyway. ;-)
The K-x is a very good camera for it's price, and it seems to make the most out of a Sony 12MP CMOS sensor, as compared to some models in it's class using the same Sony sensor design (Sony A500, Nikon D90, Nikon D5000, Nikon D300, etc., which all use a Sony 12MP CMOS Sensor)
But, I would not discount it just because it doesn't have DOF preview (a feature that wouldn't make any difference to me when comparing camera models). Now, having said that, I'd never buy that Pentax model, since I like to know what I'm focusing on (and that particular model does not display the active focus point(s) in it's viewfinder - which is a feature that I use often and would not want to get by without). If I wanted to go with a Pentax dSLR, I'd go with the newer K-r instead, as the K-x models' inability to display the the active focus point(s) would be very frustrating to me, compared to the dSLR models I'm accustomed to that have that feature. Of course, it boils down to what you're used to in a camera. ;-)