I'm using the Preview Email feature on the Preview Alert step within the Action Alert configuration. I'll enter my email address, click Preview Alert and then complete the alert. The email that I receive has a From address that is not the same as what I specified in the Alert Message.
The preview feature is going to use the default From address that is specified in your site settings. This is not going to be the same address that your targets will see. The targets are going to see the From address that was specified in step 3. Alert Message, Organization Email Address.