Yep, I'm not sure why Adobe doesn't have that feature but here's a couple of thoughts. You can use a font manager like The Font Thing or Xfonter. These programs let you see whatever sample text you enter in a bunch of fonts all at once. Plus Font Thing lets you categorize your fonts. I'm not sure that Xfonter has this feature. I haven't used it as much.
Another quick way to check out fonts in PSE, is to type in your text and click okay. Then with the text layer still active, change the font in the text tool. Instant gratification.
HTH! And maybe we need to start lobbying Adobe with the features we really need in PSE! LOL