Virtual Clips is premieres half assed method of doing something neet.
A) make sure your source for the vitual clip is somewhere in a RENDERED porition of the timeline, before where you placed your virtual clip. You can't really setup a couple clips with some effects on them and create your virtual clip, then move the source clips off the timeline, or all the way out of your "project spectrum"(say if you moved them to like the 10minute mark, since you're working on a 3minute AMV), so the source files do not clutter your view.
B)Delete your preview files.
C)Don't use virtual clips because they're lame.
I would have loved for Premiere to had allow you to "nest" virtual clips and clips together with effects, with more freedom then a stupid virtual clip. You can do this with compositions in After Effects, but that's a totally different layout, which I am not too keen on.
~klinky