It works for me.
I'm using python 2.6.4 but the latest 2.6.x version should work.
I uncommented "//#define python" from stdafx.h and built DX9_p.exe and DX9.exe.
I then renamed them to DX9_ps.exe and DX9_s.exe.
Then with scripting enabled in Construct I was able to both preview and export with no issues.
If you build the non python runtimes are you able to preview and export cap files with scripting disabled?