I have my preview quality set to Good (Full) and would like to keep it like that under all circumstances, but it seems that the quality automatically drops to Preview (half) whenever playback goes through a dissolve. Isn't this what the (Auto) setting is supposed to do? On further trialsI see that any setting I choose seems to behave in an Automatic adjustment way. Is there another place with another setting for me to lock any of these Preview Quality settings? I use only the settings above the Preview Window. I never had this problem until now (Vegas Pro 9.5).

Paul, this is one of the new features of Pro 9.
From the Readme:

Right-click the Video Preview window and select Adjust Size and Quality for Optimal Playback if you want to emphasize frame rate during preview.
When the command is not selected, video quality is emphasized, and the frame rate will be reduced if necessary.