Yes the Featured Image box is there, but the thumbnail image was embedded and deleting the featured image did not delete it, not until I deleted the image from the library. Also, it seems to be definitely a Elementor/Pro issue, as the issue is not there when these plugins are deactivated.
However I found a solution that works with Elementor, turning Auto-Display images off in the USP settings fixes it, set it to: ‘Do not auto display submitted images.’ The featured image still comes through in the top banner for my post, but the thumbnail image is no longer there.
Test Post
Thanks for your assistance with this.