Imagine the simple view of preemptive multi-tasking. We have two user tasks, both of which are running all the time without using any I/O or performing kernel calls. Those two tasks don't have to do anything special to be able to run on a multi-tasking operating system. The kernel, typically based on a timer interrupt, simply decides that it's time for one task to pause to let another one run. The task in question is completely unaware that anything happened.
However, most tasks make occasional requests of the kernel via syscalls. When this happens, the same user context exists, but the CPU is running kernel code on behalf of that task.
Older Linux kernels would never allow preemption of a task while it was busy running kernel code. (Note that I/O operations always voluntarily re-schedule. I'm talking about a case where the kernel code has some CPU-intensive operation like sorting a list.)
If the system allows that task to be preempted while it is running kernel code, then we have what is called a "preemptive kernel." Such a system is immune to unpredictable delays that can be encountered during syscalls, so it might be better suited for embedded or real-time tasks.
For example, if on a particular CPU there are two tasks available, and one takes a syscall that takes 5ms to complete, and the other is an MP3 player application that needs to feed the audio pipe every 2ms, you might hear stuttering audio.
The argument against preemption is that all kernel code that might be called in task context must be able to survive preemption-- there's a lot of poor device driver code, for example, that might be better off if it's always able to complete an operation before allowing some other task to run on that processor. (With multi-processor systems the rule rather than the exception these days, all kernel code must be re-entrant, so that argument isn't as relevant today.) Additionally, if the same goal could be met by improving the syscalls with bad latency, perhaps preemption is unnecessary.
A compromise is CONFIG_PREEMPT_VOLUNTARY, which allows a task-switch at certain points inside the kernel, but not everywhere. If there are only a small number of places where kernel code might get bogged down, this is a cheap way of reducing latency while keeping the complexity manageable.