No plugins activated.
Twenty Twelve theme activated.
I upload test.jpg and set as the featured image on a page, everything seems fine.
I look at the page and the alt text shows with a grey outline of an image but no image.
I look at the source code being generated and it is trying to load "test.jpg"
I go to my uploads folder, there is test-200x300.jpg and test-150x150.jpg but no test.jpg.
It seems to me wordpress is not saving the original image, just generating a couple small thumbnails.
If i go into the wordpress image gallery and edit test.jpg by rotating it, save. And then rotate it back to original position it creates new files in the upload directory and everything works great. However, I do not want to do that over and over.