You can upload images in 2 places:
Media page (uploads.php) or from Add Media button in a post/page edit page.
When you upload images from the post edit screen, 'post_parent' for all images uploaded is set to current post.
When you upload images from the Media page, 'post_parent' is set to 0.
When an image you have uploaded on media page is first inserted in the content of a post, or is included in a gallery inside the post, the 'post_parent' field is changed to the current post, just like it was uploaded using Add Media button of post edit screen.
As you noticed this does not happen for featured images, when an image uploaded on media page is used as featured image for a post, its post_parent stay unchanged.
Only thing that change is that a meta field '_thumbnail_id' is created for the post and its value is setted to the id of attachement post.
So if your post id is 10, get_post_meta(10, '_thumbnail_id', true); will return the ID of the post thumbnail.
Note that an image with post_parent setted to a post id does not mean that it’s inserted in the content of the post, it can be uploaded using the post Add Media button, but never inserted in the post content.
Also the countrary is true, an image inserted in the content of a post can have a post_parent setted to another post id.