Session Preview is a feature of Experience Manager that allows editors to make, and then view, updates to content across multiple pages without having to continually check-in and republish the content.
It also ensures that if Editor B updates (a different piece of content on) the same page that Editor A is working on, then this is also reflected in what Editor A sees (within Experience Manager).
Although it is preferable to have Session Preview available to your content editors, if you do not require this functionality, then you can choose to turn it off.
Session Preview is disabled within the Experience Manager settings:
If you choose to disable Session Preview permanently, then you do not need a second Content Delivery database.
However, if you do want to get Experience Manager running fully with Session Preview enabled, then you will need two Content Delivery databases.
Further clarification: If you are using Experience Manager (with Session Preview enabled), then you only need a second Content Delivery database in your Staging (what you have called 'Preview' in the question) environment.