DeepPRIME noise reduction is not actually applied to your image until it is Exported - - this being the case due to the heavy resources used for this process (if it was applied in real-time, your image-correction experience would be very slow).
In fact, the way that PhotoLab works is that, regardless of the sequence in which you may apply corrections, PL will always actually apply them in its own predefined order.
DeepPRIME is always applied to the whole image (when it is Exported). That little preview window is provided just to give you an idea of the result you will get from the various NR variations - as you position the frame on appropriate areas of your image.
Several people in this forum have asked DxO to implement a full-screen preview of the PRIME noise reduction options, or at least make the preview loupe in the adjustment palette a lot larger. You can find one such request here, with the option to vote for it and/or the other similar requests that are mentioned in that discussion:
Hope that helps. I tend to export each of my images as soon as I’ve finished working on them, then look at the TIFF or JPEG I exported to see if the noise reduction is good. If it isn’t, it’s an easy matter to go back to the RAW image, change the setting, and export again. Those who do batch processing will be a lot more frustrated by this problem.