The fact that you can preview the iframe before saving is proof positive that the plugin is writing valid html. From Joomla! 1.5.8+ a default article filtering choice was set in place for those who have not enabled the appropriate filter options.
If your user group is blacklisted the iframe tags will be stripped away when saving to the database. Please read Joomla’s official documentation: http://docs.joomla.org/Why_does_some_HTML_get_removed_from_articles_in_version_1.5.8%3F on how to setup and configure your system.