When you create and save a preview image for the first Linked Album in an Entry, if there is not yet a preview image for the Entry, then the Linked Album image will be pulled up as the Entry's preview image as well. So you don't need to add it twice. 

If there is already an image in both the Entry and first Linked Album, if you change just the Linked Album preview image and save it, then delete the image for the Entry, when you save the Entry the first Linked Album's preview image will become that of the Entry.

If you would like to know more about adding a custom preview image to your Linked Album or Entry, click here... Creating a Custom Preview Preview Image