ffmpeg stops exporting images when using overlay
The final processed stream has to be cloned and mapped, so for the given command,

ffmpeg.exe -re -t 00:00:35.000 -i input.mp4 -i overlay.png -filter_complex "[0:v]scale=1200:720[scaled];[1:v]scale=150:-1[overl];[scaled][overl]overlay=main_w-overlay_w-10:10,split=2[logo][preview];[preview]fps=4,scale=320x240[preview]" -map "[logo]" -map 0:a -c:a copy  -c:v libx264 -f mpegts udp://224.2.2.1:1234 -map "[preview]" -update 1 -y preview.jpg


(The issue corrected here has nothing to do with the updating of a single image).