You won't lose your warranty. The preview update is the same build that will be released, with no changes at all. GDR3 is done and has been released to OEMs, as was discussed, even beaten to death, in another thread. In fact, Sprint and ATT have already pushed it out to some HTC devices (they don't need to wait on Black).
The warranty statement that Microsoft made is just to cover their hind ends. Microsoft does not make phones, so they are not a party in the warranty, so they cannot make statements like, "This does not void your warranty, " or "This voids your warranty," so instead they make a blanket "this may void your warranty" statement just to cover their butts, so you can't go to them for damages should something happen to your phone during or after upgrading.