There was a bug in versions previous to 1.0.7 related to featured images. It’s solved now so post imported from now on shouldn’t have this problem. I’ll try to think of someting so you can set up the featured images for all posts that don’t have it, please give me a few days for this.
About hitting import thumbnail, when you do that it should display the image from YouTube and set it as featured image. The feature works, just tested it.