I’ve just, myself, stumbled upon this oddity in the export function. I might look at modifying it to output each post’s featured image.
Incidentally, I think that the help documentation may be slightly misleading when it says: "The components of your blog that will be imported into HubSpot are: title, post body, URL, publish date, author, tags/categories, status, meta description, featured images, and comments. " (My bold.)