Bit of an unusual error.
I have a site in development with 'The Future is Now!' plugin running.
When you edit a post that has already been published, and choose to replace the featured image, it will remove / forget it once you have clicked 'Update' in the Publish panel.
It allows you to choose the Featured Image, but once you click that Update button it's gone.
I have determined it is the plugin doing this, as when I disable this plugin the normal functionality restores.