I have no idea why, but now and then the “set featured image” link is missing from the “add new post” page. I’ve also noticed that a lot of other people have experienced the problem. I’m not entirely sure why it occurs, because it often seems like a random symptom, http://www.writemyessayservice.co.uk/ although I’m sure there is a logical explanation. However, from my experience, the problem is usually cured after adding the following line to the functions.php file inside the theme directory…
add_theme_support( 'post-thumbnails' );
I’ve seen other solutions, but this is the one that works for me.