Exporting featured image

The way WordPress works is that the files need to be there, but they also need to be registered in the database to be listed in the Media Library.

I don’t know the DownML Plugin, but it seems as this is only for backups, not for migrating data as you are trying.

What you apparently did is just upload those files, but WordPress doesn’t know anything about them in its database.

But in the end you do not really need that. In case the old website is still online XML Import/Export should download all the media files on import.

If the old website isn’t online any more this will get a bit more complicated. Comment if you need more help there.