I use the plugin NexGen gallery for event pictures. WordPress lets me choose a featured image from that gallery (albeit it's more steps than it used to be since the upgrade, but I digress). When writing a post, after selecting an image from the NexGen gallery, the image shows up on the right as the featured image. However, the theme's slider will only show a blank, white space.
The only way I can get the slider to show the chosen featured image is if it's in the media library and not in the NexGen gallery, despite WordPress showing the NG image as chosen and ready to use.
Note: the image displayed on the slider for the kid's Christmas program was uploaded to the regular media library, though the same exact image is in the NG gallery and the NG version was originally chosen as the featured image.