With previous versions of WP you could set an image as "featured" when you added it .. has that vanished completely? I can't see how to do it anymore and it's quite annoying
Isn't the link in its normal location for your install? While searching Google for an answer to my problem, I discovered a few people that were missing the "add featured image" link, like you. Might be a problem with the theme (maybe that's the reason for me too & why I'm unable to set an image as "featured").
I like the new media uploader
To be honest with you, I hate it. I wish I could use the old-uploader again but with the latest version of wordpress. I tried a thing and you can, but there might be a couple of problems. You just copy the link of the media uploader from the WP admin page and paste it in my browser window. As for the problem, the uploaded images might not appear in the list of images from the media uploader's overlay.
Edited: It's also difficult to insert images into posts. I think they buried the feature somewhere in the media uploader. As of now, I use the media uploader overlay to go directly to the image and copy its link to insert into my post.