Why is it that when I try and preview Einstein Bots I get connected to a Live Agent instead?
I figured it out: if your Salesforce Instance has access to Einstein Bots, there will be an Einstein Bots Settings section under the Chat Buttons section in Setup.
If you leave Einstein Bots Configuration blank, then (curiously enough) the preview for Einstein Bot will redirect the user to a Live Agent.
To fix this issue, simply fill in Einstein Bots Configuration as I have done in the picture above.