I found where the featured image is referenced, it’s a different table in the database.
CSV Importer plugin is only working with the wp_posts table.
It needs to also work with the wp_postmeta table.
there’s a thumbnail_id in there an the value is the ID # of the image that’s uploaded into the media section of WordPress.
That’s about as much as I can figure out by editing the SQL database manually. I was able to change the ID# to a different one and my post now has a different featured image.
But, I don’t know how to automated this, the CSV Importer plugin would have to be rewritter to allow for featured image support.