I guess you need to always see what it should look like (at least in Lucida Grande)? I think it’s unnecessary, or rather dangerous to do so, for two reasons.
There are many other ways to check how it should look like. Cutting the entire outline temporarily, or pasting the glyph elsewhere (e.g. TextEdit), or Google the unicode value of the glyph you want (try searching “unicode 0061” for example).
Looking at one design for too long will affect your design in unnecessary way. Lucida Grande is known to have errors in some letters too, so ideally you should check how a character should look like in other typefaces.
Glyphs is easy and intuitive. I suppose you’re saying it because you are not familiar enough with fonts and Unicode yet, which does require learning no matter what software you use.
That grey preview actually is Lucida Grande. Did assigning the background not work for you? Perhaps background is set to not display. Try View > Show Background.
Set up accented letters? Select the letter you want to build, and choose Layer > Make Component Glyph. If you have its base glyphs (e.g., /A and /dieresis for /Adieresis), then they will be inserted as components, and placed according to the anchor positions.