I posted this answer a few minutes ago. After the display, I had written
$\int_E f\\,d\mu$ to get the thin space; the previewer parsed it correctly (and parsed it incorrectly without the double backslash, displaying the comma instead). After I saved, if I had
\\, then the post complained of a misplaced
\\ and did not display the formula; if I had the single backslash,
\,, then it displayed correctly.
In other words, the previewer was doing one thing, while the final display was doing another.