Exactly Charu!!!
Same problem here. It seems the Featured Image does absolutely nothing at all. I’ve set the featured image, updated the page, then viewed the source and inspected the document and there is no change at all before and after.
This theme states that it supports the featured image, but I don’t know how to make it do anything.
When you set an image in the header options, it applies to every page. I’ve gone backward through the code, all the way to wp-includes/theme.php, line 1186. I don’t see any other way to have a different header image for a specific page without using a custom page template. Images don’t have tags, so it seems at some point the url for the image will have to be hard-coded.