No option for image size for feature image

I'm going to give all the details I can.
I set my image sizes - Max 2000 x 2000 Medium - 800 x 0 thumbnail 250 x 150

I worked out all the different sizes that would resize to 250 x 150 correctly.
I uploaded an image that was 2000 x 1200
I did a blog post and hit Add Image - Attachment Details came up and it had Attachment Settings. All the sizes were available - Full large medium and thumbnail - so that worked like a charm.
I picked Medium ( 800 x 480 and hit Insert the phot. worked great, fit perfectly.

Then I went to Featured Image (on the right side of the editor) clicked Set Featured Image - it took me to my image library.
I clicked on the full image ( the original one I uploaded. (that's the only size showing in my library, none of the other sizes are there).
The size of the image is 2000 x 1200 - there is nothing to choose the thumbnail size. If I hit publish it uses the biggest that will fit on the index page. I'd like it to use the thumbnail size.

I have Customizer > Layout > Page Header > Single Post Header Location - Hide ( no idea if that's important)

I have no idea what I'm doing wrong.