To use the featured slider it is important to install the Featured Galleries plugin. The Featured Galleries plugin mirrors the Featured Images functionality of WordPress. The only difference is that posts get an entire gallery rather than just a single image. The slider will be shown only on Single posts and pages.
The featured image will be shown on archive pages. If a post has a featured image gallery you see a small camera icon in the right corner of the featured image.
Upload featured Images
The best way to upload the featured images is through the media library, and not directly through the featured image option. If you upload an image through the featured options settings the image will always be attached to the post.