kint(Database::setActiveConnection('preview'));
    \Drupal::logger('Little kitties')->info('Mau');
    kint(Database::setActiveConnection('default'));

As my expectation this would create a watchdog entry in preview database. 
The entry got created in the default database instead. 

This means, setActiveConnection() only affects direct queries (select and db_query..)? That would be really sad.