I experienced the same problem with the “Set the first post image as featured image” option.
After reading this thread I decided to wait for the plugin update, but it did not fix the problem.
Then it occurred to me that the first image on the problematic posts had a source of an external website. i.e. they are not included in the website gallery but hosted on another website.
I understand that importing the source file of the first image to the gallery would be a problem as it may infringe copyrighted content.
I wonder-
a) Does the plugin consider only the first, *absolute* image on or does it search for the first image that is also included in the gallery ?
b) would it be possible to add an “import from remote website to gallery” option ? (with a legal disclaimer, of course)
Thanks your time