To set a Featured Image for your post just upload an image in the featured image post box.
This is the image that will be displayed at the beginning of your post and also on the pages as a preview image of that post.
Featured Video will work only if you are using Video Format. To set it for your post just place your YouTube, Vimeo, Dailymotion or Twitter video link in the required featured video post box.
The Video Format is perfect if you have a video and you want to show it at the beginning of your post.
On pages, the video preview displayed will be generated automatically. After you update the post you can see the generated preview image in the Featured Image post box.