If you are setting the Featured Image also uploading a new image for the first time (i.e., you are not selecting an image that exists in your media library) then there can sometimes be a bit of trouble saving the setting.
One thing I've tried that works is to upload the image (as a featured image) and then click out by selecting a different image, then re-select the image you uploaded. Not perfect, but until 3.5.1 comes out this might do the trick for you.
EDIT: Sorry, somehow this got cross-posted. Ignore the above answer; it is to a different support thread. Sorry.