The featured image is selected from your media files and will show at the top of your post above the title. It seems to have to be from your uploaded images and cannot be set on an image that has been embedded into a post from a URL. The featured image can also be selected for separate treatment in some wordpress themes. If you don’t want to see the image twice in the post, do not insert it into the body as well.
I have done this for this post. I can see an advantage of having stock icons/images for types of post that can be used to feature and then these tie in with elements that are available in some themes of sticky and featured posts.
I have tried out some themes without having any featured images or sticky posts already in the content, and they were disappointing and not like the implied layout of that theme. So when setting up a new site and choosing a theme, I would suggest adding some dummy posts to start with using all of the possible features so that you can get the best out of the theme. And some themes don’t apply the features to retrospective posts you have to add new ones.