The Block Kit framework contains files that need to be on your site for Block Kit to work. The Blocks/Stacks will only display in preview mode if the theme you are using has the Block Kit framework.
If you use the Block Kit theme, the framework is pre-installed and requires no set up from you. If you want to use another theme, then you need to use one of the two methods provided to add the framework to the theme. The Easy method uses a simple snippet to add the framework quickly to a page. The hard method adds the framework permanently to the whole theme, speeding up download times and ensuring you only have to do this once per theme.