I'm not uploading them though from the edit post screen, I choose them from the media library, but my method should be just as good.
Like I said, plugin only works when the image was uploaded from the same post add/edit screen where you want the image to become featured image.
That it's not a plugin's fault, that is due to the way WordPress handles the relation between images you upload and the post. The only way for the plugin to set the feature image for you is to check wich is the first image you uploaded to the post. If you pick the image from media library (uploaded from other post screen), that image is not attached/related to the post by WordPress (because it already has a relation with the post where it was uploaded). So there's no data for the plugin to work.
From plugin readme:
...it automatically sets the featured image to the first uploaded image for that post...
I can say it more times but not more clear.