Counterexample. Consider the following partitions of $\omega$.
$P=\{\{0\},\{1\},\{2\},\{3\},\{4\},\{5\},\{6\},\dots\}$
$Q=\{\{0,1,2\},\{3,4\},\{5,6\},\dots\}$
$R=\{\{0,1\},\{2\},\{3\},\{4\},\{5\},\{6\},\dots\}$
Now $|P\setminus Q|=|Q\setminus P|=|Q\setminus R|=|R\setminus Q|=\aleph_0$, so $P\preceq^*Q\preceq^*R$;
but $|P\setminus R|=2$ and $|R\setminus P|=1$, so $P\not\preceq^*R$.
On the other hand, if $P\prec^*Q$ means $|P\setminus Q|\lt|Q\setminus P|$, then (at least in ZFC, I don't know about ZF) we have:
$$P\prec^*Q\prec^*R\implies P\prec^*R;$$
$$P\prec^*Q\preceq^*R\implies P\preceq^*R;$$
$$P\preceq^*Q\prec^*R\implies P\preceq^*R.$$
Here $P$, $Q$, $R$ are just sets, it doesn't matter if they are partitions. It will suffice to prove the first implication, as the others are just restatements. So assume for a contradiction that there are sets $P$, $Q$, $R$ such that $P\prec^*Q\prec^*R\preceq^*P$.
Let $a=|P\setminus(Q\cup R)|$, $b=|Q\setminus(P\cup R)|$, $c=|R\setminus(P\cup Q)|$, $d=|(P\cap Q)\setminus R|$, $e=|(Q\cap R)\setminus P|$, $f=|(P\cap R)\setminus Q|$; so that $|P\setminus Q|=a+f$, $|Q\setminus P|=b+e$, etc. From $P\prec^*Q\prec^*R\preceq^*P$ we have:
$$a+f\lt b+e,\tag1$$
$$b+d\lt c+f,\tag2$$
$$c+e\le a+d,\tag3$$
where $a$, $b$, $c$, $d$, $e$, $f$ are some (finite or infinite) cardinal numbers. From $(1)$ and $(2)$ we have
$$a+b+d+f\lt b+c+e+f\tag4$$
since two strict inequalities can be added. If we also had $c+e\lt a+d$, then adding this to $(4)$ we would get the nonsensical $a+b+c+d+e+f\lt a+b+c+d+e+f$. Therefore $c+e=a+d$, but then $b+c+e+f=a+b+d+f$, contradicting $(4)$.