Change 1000+ of WordPress Featured Images in 5 Minutes! › Forums › Questions and Answers › External images not loading or found? › Reply To: External images not loading or found?
And to use oEmbed the URL is sufficient, not the entire HTML object like IMG in your case.
But QFIP works with the option for images on external servers. If you would use that the image would be downloaded, uploaded to the media library and set as featured.