Hi, I also have the same problem, but formerly my wordpress version is 2.8, now I have upgraded the version to newest 3.0.3,and when you post you should set the featured image in the right side bottom(don’t select the thumbnail image, setting as fetured image is right). Then in the theme opinion you should select the fetaured category. Note: This featured category should have at least 2 post with the featured images.
Then it is ok.
