Reading the FAQ at Prey's website, system encryption with a strong passphase will prevent the thief from being able to boot into Windows. Hence, the Prey software cannot run nor communicate with the PC.
You can send a support question on the Prey support site to see if they have a way of using their software once the PC has been stolen and the PC has been encrypted which means the thief will not be able to boot into Windows on the PC.
Newer versions of Windows OS have a System Reserved partition which cannot be encrypted by VeraCrypt since this will prevent your PC from booting. The drive will show-up in the Disk Management as a partition without an assigned drive letter and is less than
or equal to 200 MB in size.
Many PC vendors include other partitions on their system drive for recovery, troubleshooting tools and the Windows software. If you encrypt those partitions, you lose the ability to troubleshoot, repair and/or install OS when your PC is having problems.
Since you are concerned with preventing a thief from accessing your data if your PC is stolen, I recommend choosing the option "Encrypt the Windows system partition" which will only encrypt the C drive (partition) which is the OS.
If you have other partitions on the system drive for your data that you want to encrypt, you can encrypt them separately after the OS. If you use the same passphase as the OS encryption, you can add these partitions to the System Favorites to be automatically
mounted after entering the passphase at the bootloader prompt.
One final thought. Backups! :)
Always have backups of your data on a external drive that is encrypted by the backup software. Also, make sure to create and test that you can boot the VeraCrypt Rescue disk.
Here is a step-by-step guide for TrueCrypt that is for the most part applicable to VeraCrypt.