Restrict sidebar & featured images from non-members

This is how it’s designed to work. Protecting a WP Page through PMPro only dictates whether that content will be displayed to a site visitor – not whether your entire layout will change. The layout is governed by your theme. This thread explains a bit of how it works:

https://www.ads-software.com/support/topic/plugin-paid-memberships-pro-shortcode-documentation-to-block-restricted-content?replies=11

You might be able to get some of the restrictions you need for sidebar content through something like Widget Logic.