Advent of Code 2020 Day 9 in Python
Part 1
For not_in_preamble, I'd use a for-else instead of your found variable, and not re-use the same set (I don't think it's worth it):
def not_in_preamble(nums, preamble):
    for i in range(preamble, len(nums)):
        current = nums[i]
        diff = set()
        for j in range(i - preamble, i):
            if nums[j] in diff:
                break
            diff.add(current - nums[j])
        else:
            return current

Since your &quot;Any other feedback or alternative solutions are welcome&quot; also allows less efficient solutions, here's how I actually solved it myself :-)
from itertools import combinations

def not_in_preamble(nums, preamble):
    for i in range(preamble, len(nums)):
        if nums[i] not in map(sum, combinations(nums[i-preamble : i], 2)):
            return nums[i]

Preamble size 25 and nums size 1000 are easily small enough for that to run quickly.
Part 2
Your sub_array_with_sum is great, although it does rely on the input being non-negative numbers, which isn't guaranteed in the problem statement (but is the case for the fixed input file).
I'd just go with PEP 8 and change nums[i: j + 1] to nums[i : j + 1] or nums[i : j+1]. And perhaps I'd go with while True:, relying on the existence of an answer.
Your algorithm almost only takes O(1) space. The only reason it takes more is copying out the sub-array (or rather sub-list, as this is Python and the problem never says &quot;array&quot;, so there's really no need to call it array). Could be done in O(1) space to make the algorithm not just time-optimal (O(n)) but also space-optimal. Though that would require more code, not worth it (unless you have an interviewer who insists).
Input
I'd change [int(l) for l in f.read().splitlines()] to list(map(int, f)), or at least [int(line) for line in f].
Output
I'd change
print(f'PT 1 result: {pt1_result}') to
print('PT 1 result:', pt1_result). Bit shorter, and it works in older versions of Python. And at least in IDLE, the f-string is styled only as string, the whole thing green, including the variable. I don't like that.