If you open the customizer you are on the "Home"-View. You go to Posts and you select a post, which is visible in this view. You change the featured image and after the refresh, the featured image is shown. From the Posts you select another post also visible on the "Home"-View and you change the featured image, the featured image of the first post you've edited is going to be replaced in the preview.

If you hit "save &publish" the featured images are saved correctly.