I think you misunderstood the problem. Below I am going to give some links for your better understanding.
Below location where one featured image is stored (File is still there)
https://mediasysdubai.com/wp-content/uploads/2016/10/Apexx-4_01.jpg
when your going to edit the post and trying to change featured image (in the media library it’s automatically changed gray color default image like this below).

Even if you select that gray color image and set featured image. It will not come as a featured image. Nothing will happen.
Moreover, if you reupload that same image from local and set as featured image. It will come.
But whenever featured images are disappeared inside post all images, videos are not disappeared. Problem with only featured images.
All my uploaded files are still in same location and media library also showing the file name. Which means there is no problem with database or hosting. So please address it ASAP. If you want more details I can provide.
Hi,
Still now I am not getting any response….Anyone there??