I have no idea. I know of a few people who have tried Live Writer and liked it, so I tried it out just now, but found it very confusing. I couldn’t figure out how to set an image as a featured image. You can always go back to the “Edit” pane in WordPress and set the featured image from there, however.
However doesn’t upload as the featured image in the blog section.
Bingo. It may be possible that LW doesn’t support this WP function. idk.
Not the answer you were looking for, I know. Sorry.