Hi there,
The reason you aren't seeing your featured image when you create a menu item from a category is that category menu items are designed to display all posts with that category tag. In your case you only have one post with the category, but if you had others they would also display when you went to the category menu item. Because multiple posts can be associated with the menu item, there is no one featured item that can be used for the header.
In what ways is the post displaying differently now that you have the post as the menu item instead of the category? Is it something I can help you with?
Best!