WordPress not exporting or importing featured image
When you export posts instead of all content the post type attachment is not exported which I think before was not happening. So either export all content, or take the "all content" xml file and copy all the items that are post type = Attachment.
UPDATE:I created a plugin to export featured images. You can find it in Wordpress Repository
On my host this plugin doesn't work, so I write a simple script to update links to images and import metadata.