Can't use \, in Latex preview

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The following works: $\int f(x)dx$.

The following doesn't work as it does in the preview of the LaTeX: $\int f(x)\, dx$. Weirdly, it does work in the actual posted question, so this is hard to see - it looks sort of like $\int f(x),dx$.

I don't know if this is a jsmath thing, though I don't think it is, since that does something else again (in particular, it looks like $\int f(x).dx$).

This is from ask.sagemath.org.