Yes, you can use the $FIRSTNAME$ and $LASTNAME$ replacement tags within a newsletter just like you can within an email message. You need to make sure that they are typed exactly (all letters in caps and no space between them.
Also, in the preview mode the tags are not filled because the message was not sent yet to your list of contacts. The system will fill their names, for each of them, when sending the newsletter. You can check this by setting up a test client (preferably with an email address other than yours) and send a newsletter. You will notice that the test client’s name will be filled in the sent newsletter.
Keep in mind that if you send a newsletter to you as coach (to "Me"), the system will not fill your name in the sent newsletter because you are not a contact from your Console Contacts list.