I have OS X 10.11.6 and LyX 2.2.1 with (1) Look & Feel / Display / Display graphics checked, and (2) Look & Feel / Display / Instant preview set to βOnβ.
If I open Help / Specific Manuals / LilyPond, then after a short delay the various LilyPond insets β these are inside Preview insets, such as in section 2.3 on Previews β display themselves in the LyX window as blank regions, whereas I would have expected fragments of musical score to appear. However, when I view the corresponding PDF the music is displayed correctly, but it would be really nice for the Preview insets to work as expected in the LyX window. In case it is relevant, preview of mathematical formulae in my LyX window works correctly. Stephen Luttrell