This must be fixed by the gadget developers.

For item-links inside an item view the nav popups uses action=raw. This action is disabled in Wikidata.
http://www.wikidata.org/w/index.php?title=Q25306&action=raw&ctype=text/css&maxage=0&smaxage=0 (examplecall)

An alternative is to use action=parse
http://wikidata.org/w/api.php?action=parse&page=Q25306

The reason why nothing shows up in the sitelinks is that CORS is only enabled from the Wikipedia projects and to Wikidata, not the other way around. The later could be useful as it makes it possible to use nav popups in the recent changes feed.

To elaborate on what jeblad said:

Basically, the way that navigation popup is implemented relies on the wikitext returned by the (old, deprecated) action=raw call. But data items do not have any wikitext. There is nothing to return. This is why calling action=raw will return an error when you try to use it for non-text content.

Using the API's action=parse (or the old action=render) as jeblad suggested would return the rendered HTML for the data item. The navigation popup gadget would then need to process this to provide a preview.

Closing wontfix, there is nothing we can do about this on the server side.

Another way to access wikipedia pages is to use the call action=query&prop=extract and use JSONP, then you don't need CORS.
http://en.wikipedia.org/w/api.php?action=query&prop=extracts&exintro&exchars=2000&titles=Oslo

jeblad, that's an excellent idea, I will pass it on. I still think CORS is needed, as it will allow other creative gadget uses. Thanks!