Why must the oven be preheated for a Pyrex glass pan?
While an oven preheats, the heating element or gas burner will be running at full output. For an electric oven in particular, this will generate a great deal of radiant heat. Radiant heat increases the temperature of the objects it shines on, without directly changing the air temperature.

So, if you place a pyrex dish in a cold oven and then turn it on, some surfaces of the dish will be exposed to this intense radiant heat for a long period of time as the oven heats up, while the air temperature in the oven the rest of the dish is exposed to will still be much cooler.

If the dish is placed in the oven after it has preheated, it will still be exposed to the radiant heat as the oven cycles on and off to maintain the temperature, but it will be for shorter periods of time and the ambient temperature the rest of the dish is exposed to will not have such a large differential, resulting in less thermal stress on the glass.