Worked for me

It doesn’t work in one step to export and import all post content with featured images, but it does work and does export and allow you to import the featured images.

I ran this plugin and all it did was export the featured images. I imported them fine into the new site and they showed up in the media library.

Then I ran the export/import of the posts from the WP built-in importer and the images were attached to the posts just fine.

The order you run them in probably matters.

I did however only do this with one custom post type and not all content but maybe it would work with all content as well.