Featured Image Bug?

When I upload an image after clicking the “Set featured Image” link, it will insert it as a header image whether I click the link to set it as a featured image or not… it just has to exist in the gallery. This means that even if I remove it as a featured image it will still show unless I actually delete the file altogether… obviously this is a HUGE problem if you have more than 1 image in your gallery.. as it will show any image it can find in there unless nothing exists.