Coraline Featured Images don't show up in header

WordPress 3.0.4, Coraline 1.0.2

I am trying to move a site from wordpress.com to my own hosted site.
Featured images worked on .com, and are properly transferred over to my new site- but the header NEVER changes. Is there a setting somewhere I need to enable to get the featured image as header to work?

I’ve also tried uploading a new featured image, to remove the whole “it’s a transferred image” stigma. That didn’t fix it either.

Compare some of the pages (and changing header) from FBCIndySearch.com and FBCIndySearch.wordpress.com – Like the Search*Exceptions link at the top.

The one on wordpress.com has a different header.
The one on my self hosted keeps the same.

I used the wordpress export/import tools to move content- and then loaded the themes and plugins from scratch. When I go to edit a page, the featured image is set correctly. And the edit pages between wordpress.com and self-hosted look pretty much the same. I can’t find anything else that I could change to make this work.