Have in mind that the preview functionality for the hosted login page is mostly to check the UI aspects of it and you should not try to derive the available functionality from what you get in the preview.
At this time, the use of Lock embedded directly in your client application and with OIDC conformance enabled or API authorization (aka audience parameter) is not yet documented or considered final so you should not be using for a final implementation.
If you want OIDC conformance and/or API Authorization, the current recommendation is for you to use Auth0.js v8, in particular, the authorize method and redirect to the hosted login page where you can still use Lock. Given that each client application uses different connection, the Lock shown on the hosted page will reflect that and show only the applicable connections for the client application that initiated the request.
We’re working on increasing the possibilities available and allow the use of Lock within the client applications themselves even when OIDC or API Authorization come into play, however, at this time, this is still not yet fully available.