True. Preconditioning the battery costs a lot of energy. Don't do it to save total energy unless you do a fricking long drive maybe? Even then, I don't think you ever recuperate it all. If you at least precondition the battery while the car's plugged then you'll have more range overall once you leave, that is true... if you need that range (long trips).
Precondition the battery fully if you absolutely want the regen as you like to drive it that way. That's perfectly acceptable, as long as you understand the cost. It's not necessary for the car.
I suggest starting the cabin preconditioning as you prepare to head out, a few minutes before. That way you are comfortable and some heat has been generated and starts circulating in the pack. This won't cost too much and will accelerate the availability of regen. I feel this is the best compromise.
Heading out and driving without any preconditioning at all is perfectly fine too. The car won't mind and it will protect everything, including reducing the available power to you. Nothing to worry about, but you'll freeze as you sit in the car (for about 1 minute as it heats quickly).