Glad the venues are working for you now :). Turns out there was a bug - but only affected some set ups...
So does the featured image metabox not appear in the admin anywhere? (Just checking - but is it in the screen options?). Also, add_theme_support( 'post-thumbnails' ); needs to be present in your theme.
Event Organiser doesn't do anything special with featured images - events are just a post type and WordPress does the rest (so long as the option in the plugin settings are selected so as to support it).