@locloz Sorry to hear it has been causing you troubles, glad to hear you've found a solution. The problem was never to integrate a skeleton preview with the Animation window, but to preview transitions of the Animator (Mecanim) window (the similar window name may have been confusing). That's also mentioned in the corresponding issue ticket here.
Nevertheless, we will integrate this feature that you showed above in the runtimes in the near future, so that users can at least benefit from this slight improvement, even though it won't cover Mecanim transitions.