Featured image doesn't replace header on new pages

Hi.
I’m new to WP and just trying to find out why it seems so impossible to have the featured image selected for a page to show up on that page.

I can only set a header image or random default images as the header. As I understand it, if I set a featured image for a page then that should be the image that replaces the header on that page only?

If so then I can’t understand what I’m doing wrong.
My page is at: http://www.cheekyface.com.au/wp/news-announcements-page/ (this is the page which should be showing this image as the header:
)