First, don't worry about the preview settings. They're more for internal use so complex effects play back smoothly. You normally don't want to use them for exporting.
Second, right click on a clip and select New Sequence From Clip. You're good to go. If you still have issues, it may be your system just can't handle the material.
(On a side note, PP doesn't yet support DNxHD in the MXF wrapper, but only as MOV files.)