Ah – I see. Puzzle doesn’t show featured images on the blog posts/ pages themselves. You’ll actually find that very few themes do this. The featured images are only used for the thumbnails on the homepage and archive pages.
If you want to embed the image in a blog post then you are able to do so by inserting the image directly into the post. This gives you the most flexibility as you can embed it in the way you think best (full size/ thumbnail etc)