In general, you'll likely want to do this. Hype's editor will play animations on the current timeline, but not any timeline actions. Given timeline actions can do things like change scenes, run javascript, or even send emails, this wouldn't be a nice thing to do when you're just trying to work on animations in a scene! Due to the complexity of interactions and multiple running timelines, you'll want to preview early and often.
A small tip when previewing is that you can use the option key (either on the toolbar item or with the command-return shortcut) to preview the current scene/layout, that way you don't need to necessarily work your whole way through the animation.