Thank you for the screenshots. I see that the option “Use first attached image” is activated. You can see attached images in the backend on page “Media” > “Library” in list mode, column “Uploaded to”. If there is a title of a post, the respective image is attached to that post. If there is no attachment, you see the entry “(Unattached)” and a link to attach any image.
Is that what you have intended? Or did you want the “first post image” as the future featured image?