That's very simple. The attachments in your feed have a size of 88x88px. They are too small to be used as featured images. Go to Settings->Media in your WP control panel and you will see that the smallest allowed thumb must be at least 150x150px. WordPress can't crop a 88x88 image to a 150x150 one.
So that's not a limitation of CyberSyn. That's a limitation of the particular feed with such microscopic image attachments.
BTW, there is a 100% working solution for the feeds like that. The plugin will extract all the images from every gallery in the feed,upload them to your WP site and add to the Media Library, crop the thumbnails, generate the galleries and make featured images using the full-sized gallery images instead of those tiny 88x88 attachments - everything on autopilot. It also works with tube content and cam site embeds, but it's a premium plugin...